Title :
MMSE estimation in a linear signal model with ellipsoidal constraints
Author :
Uhlich, Stefan ; Yang, Bin
Author_Institution :
Dept. of Syst. Theor. & Signal Process., Univ. Stuttgart, Stuttgart
Abstract :
The estimation of an unknown parameter vector in a Gaussian linear model is studied in this paper. Two different cases are analyzed: the parameter vector is assumed to lie either in or on a given ellipsoid. The best estimator in terms of the mean squared error is derived. The performance of this estimator is analyzed and compared with the ordinary least squares, the constrained least squares and the linear minimax approach.
Keywords :
Gaussian processes; least squares approximations; mean square error methods; signal processing; Gaussian linear model; MMSE estimation; constrained least squares; ellipsoidal constraints; linear minimax approach; linear signal model; mean squared error; ordinary least squares; unknown parameter vector; Constraint theory; Direction of arrival estimation; Ellipsoids; Error analysis; Least squares approximation; Minimax techniques; Parameter estimation; Performance analysis; Signal processing; Vectors; Minimum mean squared error estimation; Parameter estimation; Restricted parameter space;
Conference_Titel :
Acoustics, Speech and Signal Processing, 2009. ICASSP 2009. IEEE International Conference on
Conference_Location :
Taipei
Print_ISBN :
978-1-4244-2353-8
Electronic_ISBN :
1520-6149
DOI :
10.1109/ICASSP.2009.4960317
