Minimax a posteriori estimation in the hidden Markov models
Andrey V. Borisov · Automation and Remote Control · 2007
Consideration was given to the minimax estimation in the observation system including a hidden Markov model for continuous and counting observations. The dynamic and observation equations depend on a random finite-dimensional parameter having an unknown distribution with the given support. The conditional expectation of the available observation of some generalized quadratic loss function was used as the risk function. Existence of the saddle point in the formulated minimax problem was proved, and the worst distribution and the minimax estimate as the solution of a simpler dual problem were characterized.