IEEE - Institute of Electrical and Electronics Engineers, Inc. - Robust least-squares estimation with a relative entropy constraint

Author(s): B.C. Levy ; R. Nikoukhah
Sponsor(s): IEEE Information Theory Society
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 January 2004
Volume: 50
Page(s): 89 - 104
ISSN (Paper): 0018-9448
ISSN (Online): 1557-9654
DOI: 10.1109/TIT.2003.821992
Regular:

Given a nominal statistical model, we consider the minimax estimation problem consisting of finding the best least-squares estimator for the least favorable statistical model within a neighborhood... View More

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