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- W77201985 abstract "We consider the question of optimally estimating a time-varying multivariate stochastic process, in order to minimize the expected squared estimation error. This is motivated by adaptive control problems under uncertainty in a changing environment. A distinguishing feature of our approach is that we do not need a completely specied model for the stochastic process under consideration. Instead, we merely assume that the process obeys certain predetermined assumptions, and subsequently derive the optimal min-max estimator w.r.t. these assumptions. This can be seen as a stochastically robust method to estimate a time-varying process. We provide tight upper bounds on the expected squared estimation error, and explicitly derive the optimal weighted least-squares estimator in several relevant examples." @default.
- W77201985 created "2016-06-24" @default.
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- W77201985 date "2013-12-01" @default.
- W77201985 modified "2023-09-23" @default.
- W77201985 title "Robust estimation of time-varying processes" @default.
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