A Least Squares Estimate, Nonquadratic Losses, and Gaussian Distributions

DOI10.1137/1136009zbMATH Open0744.62039OpenAlexW1969451268MaRDI QIDQ4000562

A. A. Zinger, Abram M. Kagan

Publication date: 26 September 1992

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1136009

zbMATH Keywords

characterizationsbest linear unbiased estimatorGaussian distributionsquadratic lossleast squares estimatorsoptimal weightsexponential lossnonquadratic lossbest non-unbiased estimatorloss function of Laplace

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Point estimation (62F10) Linear inference, regression (62J99) Characterization and structure theory of statistical distributions (62E10)

Related Items (3)

Title not available (Why is that?) ⋮ Toward the history of the St. Petersburg school of probability and statistics. IV: Characterization of distributions and limit theorems in statistics ⋮ On the Loss Robustness of Least-Square Estimators

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