BIAS-VARIANCE TRADEOFFS IN FUNCTIONAL ESTIMATION PROBLEMS

Authors
LOW MG
Citation
Mg. Low, BIAS-VARIANCE TRADEOFFS IN FUNCTIONAL ESTIMATION PROBLEMS, Annals of statistics, 23(3), 1995, pp. 824-835
Citations number
16
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Annals of statistics → ACNP
ISSN journal
00905364
Volume
23
Issue
3
Year of publication
1995
Pages
824 - 835
Database
ISI
SICI code
0090-5364(1995)23:3<824:BTIFEP>2.0.ZU;2-H
Abstract
It is shown in infinite-dimensional Gaussian problems that affine esti mators minimax the variance among all estimators of a linear functiona l subject to a constraint on the bias. Likewise, affine estimators als o minimax the square of the bias among all estimates of a linear funct ional subject to a constraint on the variance.