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Quasi minimax estimation in the linear regression model

 

作者: G. Trenkler,   P. Stahlechker,  

 

期刊: Statistics  （Taylor Available online 1987）
卷期: Volume 18, issue 2  

页码: 219-226

 

ISSN:0233-1888

 

年代: 1987

 

DOI:10.1080/02331888708802010

 

出版商: Akademie-Verlag

 

数据来源: Taylor

 

摘要:

Since the explicit determination of the minimax estimator in th elinear regression model usually is difficult we propose to minimize an upper bound of the maximal risk instead. The resulting estimator coincides with the minimax estimator when the weight matrix of the risk function has rank one. Specific attention is paid to additional equality restrictions

 

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