All admissible linear estimators of the mean of a Gaussian distribution on a Hilbert space

DOI10.1214/AOS/1176346803zbMath0558.62009OpenAlexW2035559569MaRDI QIDQ762846

Avishai Mandelbaum

Publication date: 1984

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

Full work available at URL: https://doi.org/10.1214/aos/1176346803

zbMATH Keywords

eigenvaluesHilbert spaceBrownian motionOrnstein-Uhlenbeck processGaussian distributionlinear estimatorsHilbert-Schmidt operatorscovariance operatorquadratic lossself-adjointclass of measurable linear transformationsdrift functionnatural class of linear estimators

Mathematics Subject Classification ID

Multivariate analysis (62H99) Estimation in multivariate analysis (62H12) Gaussian processes (60G15) Admissibility in statistical decision theory (62C15) Complete class results in statistical decision theory (62C07)

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