All admissible linear estimators of the mean of a Gaussian distribution on a Hilbert space

DOI10.1214/AOS/1176346803zbMATH Open0558.62009OpenAlexW2035559569MaRDI QIDQ762846FDOQ762846

Authors: Avishai Mandelbaum 

Publication date: 1984

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176346803

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zbMATH Keywords

eigenvaluesOrnstein-Uhlenbeck processGaussian distributionBrownian motionHilbert spacequadratic lossself-adjointHilbert-Schmidt operatorscovariance operatorlinear estimatorsclass of measurable linear transformationsdrift functionnatural class of linear estimators

Mathematics Subject Classification ID

Multivariate analysis (62H99) Gaussian processes (60G15) Estimation in multivariate analysis (62H12) Complete class results in statistical decision theory (62C07) Admissibility in statistical decision theory (62C15)

Cited In (3)

• Bayesian aspects of some nonparametric problems
• Consistency of posterior mixtures in the Gaussian family on a Hilbert space and its applications
• All admissible linear estimates of the mean matrix

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