Risk-Aware MMSE Estimation

6 Dec 2019Dionysios S. KalogeriasLuiz F. O. ChamonGeorge J. PappasAlejandro Ribeiro

Despite the simplicity and intuitive interpretation of Minimum Mean Squared Error (MMSE) estimators, their effectiveness in certain scenarios is questionable. Indeed, minimizing squared errors on average does not provide any form of stability, as the volatility of the estimation error is left unconstrained... (read more)

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