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Spectral methods in linear minimax estimation

✍ Scribed by Hilmar Drygas

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

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✦ Synopsis

We consider the minimax-linear estimator in a linear regression model with circular constraints. Two necessary and sufficient conditions for the optimality of an estimator, the socalled left spectral equation and the right spectral equation (Girko spectral equation), are derived. For the special case of a simple maximal eigenvalue and a single eigenspace explicit estimation formulas are derived. These formulas also show some of the shortcomings of the minimax-linear estimator (MILE). Finally, the relation with Bayesian analysis and the Hoffmann-Liuter estimator is outlined.

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