On a minimax estimate for the mean of a normal random vector under a generalized quadratic loss function

DOI10.1214/aos/1193342388zbMath0253.62021OpenAlexW1977697321MaRDI QIDQ2557970

Max Mintz, Tamer Başar

Publication date: 1973

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1193342388

Mathematics Subject Classification ID

Point estimation (62F10) Bayesian inference (62F15) Estimation and detection in stochastic control theory (93E10) Statistical decision theory (62C99) Admissibility in statistical decision theory (62C15) Decision theory for games (91A35)

Related Items

Game theory approach to state estimation of linear discrete-time processes and its relation toH∞-optimal estimation ⋮ Minimax and admissible minimax estimators of the mean of a multivariate normal distribution for unknown covariance matrix ⋮ A Kalman filter as a minimax estimator