In the present paper, for constructing the minimum risk estimators of state of stochastic systems, a new technique of invariant embedding of sample statistics in a loss function is proposed. This technique represents a simple and computationally attractive statistical method based on the constructive use of the invariance principle in mathematical statistics. Unlike the Bayesian approach, an invariant embedding technique is independent of the choice of priors. It allows one to eliminate unknown parameters from the problem and to find the best invariant estimator, which has smaller risk than any of the well‐known estimators. There exists a class of control systems where observations are not available at every time due to either physical impossibility and/or the costs involved in taking a measurement. In this paper, the problem of how to select the total number of the observations optimally when a constant cost is incurred for each observation taken is discussed. To illustrate the proposed technique, an example is given and comparison between the maximum likelihood estimator (MLE), minimum variance unbiased estimator (MVUE), minimum mean square error estimator (MMSEE), median unbiased estimator (MUE), and the best invariant estimator (BIE) is discussed.
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