Rethinking Biased Estimation: Improving Maximum Likelihood and the Cramér–Rao Bound
Foundations and Trends in Signal Processing
A narrative approach for speech signal based MMSE estimation using quantum parameters
WSEAS Transactions on Signal Processing
Robust Mobile Location Estimation Using Hybrid TOA/AOA Measurements in Cellular Systems
Wireless Personal Communications: An International Journal
Hi-index | 35.68 |
In this paper, a minimax mean-squared error (MSE) estimator is developed for estimating an unknown deterministic parameter vector in a linear model, subject to noise covariance uncertainties. The estimator is designed to minimize the worst-case MSE across all norm-bounded parameter vectors, and all noise covariance matrices, in a given region of uncertainty. The minimax estimator is shown to have the same form as the estimator that minimizes the worst-case MSE over all norm-bounded vectors for a least-favorable choice of the noise covariance matrix. An example demonstrating the performance advantage of the minimax MSE approach over the least-squares and weighted least-squares methods is presented.