A Minimax Property of Linear Regression

DOI10.2307/2289157MaRDI QIDQ3746713zbMATH OpenOpenAlexFDO

Authors Gideon Schwarz

Publication date 1987

Full work available at URL https://doi.org/10.2307/2289157

zbMATH Keywords

first and second order momentsmaximin strategyminimax propertynormal distributionsquared-error lossstatistical game

Mathematics Subject Classification ID

Minimax procedures in statistical decision theory (62C20) Nonparametric estimation (62G05) Linear regression; mixed models (62J05)

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Cited in

(5)

• An optimality property of polynomial regression
• Regression: Choice of a regression function and efficiency and stability of estimates
• Optimal prediction for linear regression with infinitely many parameters.
• Least-Absolute-Value Prediction Lines in Closed Form
• Minimax prediction in the linear model with a relative squared error

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