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In the case of countably infinite dimensional observations, a sufficient condition is given for \\textit{P. Speckman}'s (unpublished manuscript) minimax linear estimator to be first order asymptotically minimax. The main idea in proving this result is to create an appropriate sequence of Bayes estimators in which the Bayes risk coincides asymptotically with the minimax linear risk.   The analysis of the continuous time observations is also studied. In this case we present a method to transform the continuous time observations to the one with countably infinite independent observations. 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