Abstract
Minimax parametric identification of a multidimensional uncertain stochastic linear model under incomplete a priori information on the first two moments of the characteristics of the parameters of the model is investigated. The minimax problem is reduced through regularization of the initial mean-square criterion to a dual problem without any additional assumptions on the nondegeneracy of matrices belonging to the uncertainty set. Results are illustrated by concrete examples of singular models.
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Pankov, A.R., Semenikhin, K.V. Minimax Estimation in Singular Uncertain Stochastic Models. Automation and Remote Control 63, 1410–1425 (2002). https://doi.org/10.1023/A:1020078020019
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DOI: https://doi.org/10.1023/A:1020078020019