A numerical method for an approximate minimax estimator in linear regression

DOI10.1016/0024-3795(92)90212-SzbMath0762.65109MaRDI QIDQ1200571

Peter Stahlecker, Jörg Lauterbach

Publication date: 16 January 1993

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

zbMATH Keywords

numerical examplestopping ruleglobal optimalitylinear regressionminimax estimatorsstep size selectionex-post error bound

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Nonparametric estimation (62G05) Probabilistic methods, stochastic differential equations (65C99)

Related Items

Fuzzy prior information and minimax estimation in the linear regression model ⋮ Minimax estimation in linear regression with singular covariance structure and convex polyhedral constraints ⋮ Linear Affine Estimation in Misspecified Linear Regression Models Using Fuzzy Prior Information

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