Minimax estimation in linear regression with singular covariance structure and convex polyhedral constraints

DOI10.1016/0378-3758(93)90123-NzbMATH Open0778.62061OpenAlexW1975376739MaRDI QIDQ689386FDOQ689386

Authors: Peter Stahlecker, Götz Trenkler 

Publication date: 2 December 1993

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(93)90123-n

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zbMATH Keywords

singular covariance matrixapproximate linear minimax estimationconvex, compact polyhedral constraintsexact minimax solutiongeneral quadratic losslinear affine minimax estimationmaximal weighted risk

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20)

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Cited In (16)

• Title not available (Why is that?)
• Title not available (Why is that?)
• Reducing the Maximum Risk of Regression Estimators by Polyhedral Projection
• Minimax prediction in the linear model with a relative squared error
• A comparison of minimax and least squares estimators in linear regression with polyhedral prior information
• Linear plus quadratic (LPQ) quasiminimax estimation in the linear regression model
• Quasi-minimax estimation in the general linear regression model
• Another view of the Kuks-Olman estimator
• Relative squared error prediction in the generalized linear regression model
• Modified minimax estimation of regression coefficients
• Linear regression analysis using the relative squared error
• A minimax approach to missing values in linear regression
• Minimax adjustment technique in a parameter restricted linear model
• For what subsets of parameters is the least squares estimator minimax?
• Exact minimax risk for linear least squares, and the lower tail of sample covariance matrices
• Minimax estimation for singular linear multivariate models with mixed uncertainty

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