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Minimax least squares and quasiminimax estimation in linear models with missing values

✍ Scribed by Michaela Jänner; Peter Stahlecker

Publisher
Springer Netherlands
Year
1996
Tongue
English
Weight
492 KB
Volume
43
Category
Article
ISSN
0167-8019

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A comparison of minimax and least square
A comparison of minimax and least squares estimators in linear regression with polyhedral prior information
✍ Karsten Schmidt 📂 Article 📅 1996 🏛 Springer Netherlands 🌐 English ⚖ 460 KB

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.