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RESEARCH PRODUCT

Improved State Estimation of Stochastic Systems via a New Technique of Invariant Embedding

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In this paper we construct the minimum risk estimators of state of stochastic systems. The method used is that of the invariant embedding of sample statistics in a loss function in order to form pivotal quantities, which make it possible to eliminate unknown parameters from the problem. This method is a special case of more general considerations applicable whenever the statistical problem is invariant under a group of transformations, which acts transitively on the parameter space.