Robust competitive estimation with signal and noise covariance uncertainties

Robust estimation of a random vector in a linear model in the presence of model uncertainties has been studied in several recent works. While previous methods considered the case in which the uncertainty is in the signal covariance, and possibly the model matrix, but the noise covariance is assumed to be completely specified, here we extend the results to the case where the noise statistics may also be subjected to uncertainties. We propose several different approaches to robust estimation, which differ in their assumptions on the given statistics. In the first method, we assume that the model matrix and both the signal and the noise covariance matrices are uncertain, and develop a minimax mean-squared error (MSE) estimator that minimizes the worst case MSE in the region of uncertainty. The second strategy assumes that the model matrix is given and tries to uniformly approach the performance of the linear minimum MSE estimator that knows the signal and noise covariances by minimizing a worst case regret measure. The regret is defined as the difference or ratio between the MSE attainable using a linear estimator, ignorant of the signal and noise covariances, and the minimum MSE possible when the statistics are known. As we show, earlier solutions follow directly from our more general results. However, the approach taken here in developing the robust estimators is considerably simpler than previous methods.