Optimal combination of sampled measurements

Details Optimal combination of sampled measurements Optimal combination of sampled measurements

H - Electricity

04

L

H04L 12/26 (2006.01)

Patent

CA 2615998

Two regularized estimators that avoid the pathologies associated with variance estimation are disclosed. The regularized variance estimator adds a contribution to estimated variance representing the likely error, and hence ameliorates the pathologies of estimating small variances while at the same time allowing more reliable estimates to be balanced in the convex combination estimator. The bounded variance estimator employs an upper bound to the variance which avoids estimation pathologies when sampling probabilities are very small.

La présente invention concerne deux estimateurs régularisés qui évitent les pathologies associées à l'estimation de variance. L'estimateur de variance régularisé ajoute une contribution à la variance estimée représentant l'erreur vraisemblable et, par conséquent, améliore les pathologies d'estimation de petite variance tout en permettant en même temps à des estimations plus fiables d'être équilibrées dans l'estimateur de combinaisons convexe. L'estimateur de variance limitée utilise une limite supérieure à la variance qui évite des pathologies d'estimation lorsque des probabilités sont très petites.

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