By Philip Ernst and others

Suppose that a random variable *X* of interest is observed perturbed by independent additive noise *Y*. This paper concerns the "the least favorable perturbation" *\hat Y_\ep*, which maximizes the prediction error *E(X-E(X|X+Y))^2* in the class of *Y* with * \var (Y)\leq \ep*. We find a characterization of the answer to... Show more

March 17, 2021

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The least favorable noise

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