Minimax estimation of continuous time deterministic signals in colored noise

Randall K. Bahr and James A. Bucklew

Stochastic Processes and their Applications, 1987, vol. 27, 97-120

Abstract: This paper considers continuous time estimation of non-random data corrupted by random noise. The strategy employed is to find a linear noncausal estimator whose performance is best over a pre-designated class of signals. This estimator will minimize the maximum normalized mean square error over input signals belonging to a subset of square-integrable functions on [0, T]. Simple suboptimal estimators are introduced and are shown to behave optimally as the observation interval becomes unbounded. An expression for the asymptotic minimax estimation error is developed.

Keywords: estimation; non-parametric; filtering; minimax; estimation; deterministic; signal; filtering (search for similar items in EconPapers)
Date: 1987
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