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Model Robust Confidence Intervals Using Maximum Likelihood Estimators

โœ Scribed by Richard M. Royall


Book ID
124920311
Publisher
John Wiley and Sons
Year
1986
Tongue
English
Weight
776 KB
Volume
54
Category
Article
ISSN
0306-7734

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Robust maximum likelihood estimation in
โœ Giuseppe Calafiore; Laurent El Ghaoui ๐Ÿ“‚ Article ๐Ÿ“… 2001 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 181 KB

This paper addresses the problem of maximum likelihood parameter estimation in linear models a!ected by Gaussian noise, whose mean and covariance matrix are uncertain. The proposed estimate maximizes a lower bound on the worst-case (with respect to the uncertainty) likelihood of the measured sample,