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Recursive Robust Minimax Estimation

  • É. Walter
  • H. Piet-Lahanier

Abstract

An important problem arising when one wants to estimate the parameters of a model in a bounded-error context is the specification of reliable bounds for this error. In early phases of development, when no prior information is available, one may wish to know the minimum upper bound for the amplitude of the error such that the feasible parameter set is not empty. This corresponds to using a minimax estimator. For models linear in their parameters, we describe a method that takes advantage of a reparametrization in order to recursively obtain the minimax estimates and associated bounds for the error. It also provides the set of parameters compatible with any upper bound of the error. This procedure is extended to output-error models, which are nonlinear in their parameters. Its robustness to outliers is discussed and a technique is described to detect and discard them.

Keywords

Polyhedral Cone Exact Description Supporting Hyperplane Autoregressive Parameter Minimax Estimation 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 1996

Authors and Affiliations

  • É. Walter
    • 1
  • H. Piet-Lahanier
    • 2
  1. 1.Laboratoire des Signaux et SystèmesCNRS École Supérieure d’ÉlectricitéGif-sur-Yvette CedexFrance
  2. 2.Direction des Études de SynthèseSM Office National d’Études et de Recherches AérospatialesChâtillon CedexFrance

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