Worst-case estimation for econometric models with unobservable components

DOI10.1016/J.CSDA.2006.09.023MaRDI QIDQ1019967zbMATH OpenOpenAlexFDO

Authors Mercedes Esteban-Bravo, Jose M. Vidal-Sanz

Publication date 29 May 2009

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10016/7342

zbMATH Keywords

minimax optimizationrobust modellingworst-case decision

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Minimax procedures in statistical decision theory (62C20)

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Cited in

(1)

• Robust optimal decisions with imprecise forecasts

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