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A problem of minimax estimation with directional information

✍ Scribed by Thomas S. Ferguson


Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
282 KB
Volume
26
Category
Article
ISSN
0167-7152

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We consider the linear regression model where prior information in the form of linear inequalities restricts the parameter space to a polyhedron. Since the linear minimax estimator has, in general, to be determined numerically, it was proposed to minimize an upper bound of the maximum risk instead.