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The Method of Risk Envelope in Estimation of Linear Functionals

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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.

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Authors and Affiliations

  1. Institute for Information Transmission Problems, RAS, Moscow

    G. K. Golubev

  2. Université de Provence, Marseil le, France

    G. K. Golubev

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  1. G. K. Golubev
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Golubev, G.K. The Method of Risk Envelope in Estimation of Linear Functionals. Problems of Information Transmission 40, 53–65 (2004). https://doi.org/10.1023/B:PRIT.0000024880.14839.ff

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  • DOI: https://doi.org/10.1023/B:PRIT.0000024880.14839.ff

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