| Paper: | SAM-P2.11 | ||
| Session: | Detection and Estimation | ||
| Time: | Tuesday, May 18, 15:30 - 17:30 | ||
| Presentation: | Poster | ||
| Topic: | Sensor Array and Multichannel Signal Processing: Signal detection and estimation | ||
| Title: | MINIMAX REGRET ESTIMATION IN LINEAR MODELS | ||
| Authors: | Yonina C. Eldar; Technion-Israel Institute of Technology | ||
| Aharon Ben-Tal; Technion-Israel Institute of Technology | |||
| Arkadi Nemirovski; Technion-Israel Institute of Technology | |||
| Abstract: | We develop a new linear estimator for estimating an unknown vector x in a linear model, in the presence of bounded datauncertainties. The estimator is designed to minimize theworst-case regret across all bounded data vectors, namelythe worst-case difference between the MSE attainable using alinear estimator that does not know the true parameters x, andthe optimal MSE attained using a linear estimator that knowsx. We demonstrate through several examples that the minimaxregret estimator can significantly increase the performance overthe conventional least-squares estimator, as well as several other least-squares alternatives. | ||
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