Minimax linear estimation at a boundary point

DOI10.1016/J.JMVA.2018.01.001MaRDI QIDQ1742746zbMATH OpenOpenAlexFDO

Authors Wayne Yuan Gao

Publication date 12 April 2018

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1710.06809

zbMATH Keywords

boundary pointminimax linear estimationmodulus problemregression discontinuity

Mathematics Subject Classification ID

Minimax procedures in statistical decision theory (62C20) Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08)

Abstract: This paper characterizes the minimax linear estimator of the value of an unknown function at a boundary point of its domain in a Gaussian white noise model under the restriction that the first-order derivative of the unknown function is Lipschitz continuous (the second-order H"{o}lder class). The result is then applied to construct the minimax optimal estimator for the regression discontinuity design model, where the parameter of interest involves function values at boundary points.

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Cited in

(2)

• Minimax linear estimation in a white noise problem
• scientific article; zbMATH DE number 509212 (Why is no real title available?)

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