Application of spectral analysis to minimax estimation

MaRDI QIDQ1322705zbMATH OpenFDO

Authors Subanar

Publication date 3 August 1994

Published in Southeast Asian Bulletin of Mathematics (Search for Journal in Brave)

zbMATH Keywords

Bayes estimatorsBayes riskcompact operatorcontinuous time observationscountably infinite dimensional observationsellipsoidfirst order asymptotically minimaxHilbert spaceminimax estimation of linear functionalsminimax linear estimatorminimax linear risksingular value decompositionstochastic linear functional

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) Minimax procedures in statistical decision theory (62C20) Bayesian inference (62F15) Linear regression; mixed models (62J05) Linear inference, regression (62J99)

Review text

We are concerned with minimax estimation of linear functionals when the parameter space is an ellipsoid in Hilbert space. In the case of countably infinite dimensional observations, a sufficient condition is given for \textit{P. Speckman}'s (unpublished manuscript) minimax linear estimator to be first order asymptotically minimax.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. The method is using the singular value decomposition of a compact operator to define a stochastic linear functional on the observations.

Recommendations

• Spectral methods in linear minimax estimation
• Minimax estimators of parameters of linear model uncertainty in Hilbert space with stochastic regression coefficients
• Problems of minimax estimation of random elements with values in Hilbert spaces
• Minimax procedures of statistical estimation in Hilbert spaces

Cited in

(4)

• Spectral equations for minimax parameter estimators of linear systems
• Spectral methods in linear minimax estimation
• Minimax estimation of linear functionals, particularly in nonparametric regression and positron emission tomography
• Near Minimax Line Spectral Estimation

This page was built for publication: Application of spectral analysis to minimax estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1322705)