scientific article; zbMATH DE number 16732

MaRDI QIDQ3973417zbMATH OpenFDO

Authors Zinoviy Landsman, B. Ya. Levit

Publication date 26 June 1992

zbMATH Keywords

first eigenvalue problemnuisance parameterssecond-order asymptotics of minimax risksecond-order minimax risk optimal estimationsemi-elliptic differential operatorsymmetric and quasi-convex loss function

Mathematics Subject Classification ID

Spectral theory and eigenvalue problems for partial differential equations (35P99) Minimax procedures in statistical decision theory (62C20) Statistical decision theory (62C99)

Review text

[For the entire collection see Zbl 0725.00014.] Let \(x_ 1,x_ 2,\dots,x_ n\) be i.i.d. random variables having density \(f(x,\theta_ 1,\dots,\theta_ s)\) with respect to a \(\sigma\)- finite measure \(\nu\), where \((\theta_ 1,\dots,\theta_ s)\in\Theta\subset\mathbb R^ s\). The authors consider the problem of second-order minimax risk optimal estimation of structural parameters \((\theta_ 1,\dots,\theta_ p)\) in the presence of nuisance parameters \((\theta_{p+1},\dots,\theta_ s)\), \(p<s\). Under a suitable symmetric and quasi-convex loss function, the second-order asymptotics of minimax risk are found through the solution of the first eigenvalue problem for a semi-elliptic differential operator. The differential operator becomes elliptic when the nuisance parameters are absent (i.e. \(p=s\)).

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(4)

• Credibility theory: A new view from the theory of second order optimal statistics.
• Second order minimax estimation in partial linear models
• On the second order minimax estimation of distribution functions
• Second-order minimax estimation of the mean value for exponential dispersion models

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