The Method of Risk Envelope in Estimation of Linear Functionals

  • Authors:

  • G. K. Golubev

  • Affiliations:

  • Institute for Information Transmission Problems, RAS, Moscow. Université de Provence, Marseil le, France golubev@gyptis.univ-mrs.fr

  • Venue:
  • Problems of Information Transmission
  • Year:
  • 2004

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Abstract

The problem of estimating a linear functional in a linear Gaussian model is considered. For the estimation, the class of projection estimators is used. The problem is to choose the optimal estimate from this class on the basis of observations. The solution of this problem is based on the principle of risk envelope minimization.