✦ LIBER ✦

Linear minimax estimation with ellipsoidal constraints

✍ Scribed by Norbert Christopeit; Kurt Helmes

Publisher: Springer Netherlands
Year: 1996
Tongue: English
Weight: 481 KB
Volume: 43
Category: Article
ISSN: 0167-8019
DOI: 10.1007/bf00046984

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✦ Synopsis

We consider the simultaneous linear minimax estimation problem in linear models with ellipsoidal constraints imposed on an unknown parameter. Using convex analysis, we derive necessary and sufficient optimality conditions for a matrix to define the linear minimax estimator. For certain regions of the set of characteristics of linear models and constraints, we exploit these optimality conditions and get explicit formulae for linear minimax estimators.

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