Minimax estimation of a bounded squared mean

DOI10.1016/0167-7152(92)90111-HMaRDI QIDQ1185328zbMATH OpenOpenAlexFDO

Authors Irène Gijbels, Jianqing Fan

Publication date 28 June 1992

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(92)90111-h

zbMATH Keywords

asymptotic expression for the minimax riskestimation of quadratic functionalsGaussian white noiseGaussian white noise modelhardest 1-dimensional subproblemsminimax estimationnormal meannormal modelsquared error lossunknown mean

Mathematics Subject Classification ID

Minimax procedures in statistical decision theory (62C20) Density estimation (62G07)

Review text

Let \(X_ 1,X_ 2,\dots,X_ n\) be a random sample from \(N(\theta,\sigma^ 2)\) distribution, and suppose that \(|\theta|\leq\tau\) where \(\tau\) is known. The author studies the minimax estimation of \(\theta^ 2\) under squared error loss, and obtains an asymptotic expression for the minimax risk. This result has an application in nonparametric estimation of quadratic functionals.

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Cites work

• Estimating a bounded normal mean
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• scientific article; zbMATH DE number 3124347 (Why is no real title available?)
• scientific article; zbMATH DE number 3844864 (Why is no real title available?)
• Minimax estimation of the mean of a normal distribution when the parameter space is restricted
• Minimax quadratic estimation of a quadratic functional
• Minimax risk over hyperrectangles, and implications
• On Asymptotic Minimax Estimates of the Second Order
• On the estimation of a restricted normal mean
• On the estimation of quadratic functionals

Cited in

(5)

• Minimax estimation of the mean of a general distribution when the parameter space is restricted
• scientific article; zbMATH DE number 219320 (Why is no real title available?)
• Minimax mean estimator for the trine
• Rate optimal estimation of quadratic functionals in inverse problems with partially unknown operator and application to testing problems
• Minimax estimation of random elements by the root-mean-square criterion

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