.Linear estimation of $f(x)$ at a point in a white noise model is considered. The exact linear minimax estimator of $f(0)$ is found for the family of $f(x)$ in which $f'(x)$ is Lip (M). The resulting estimator is then used to verify a conjecture of Sacks and Ylvisaker concerning the near optimality of the Epanechnikov kernel.
Publié le : 1997-04-14
Classification:
White noise model,
density estimation,
linear minimax estimation,
Epanechnikov kernel,
62G07,
62G20,
62C25
@article{1031833671,
author = {Zhao, Linda H.},
title = {Minimax linear estimation in a white noise problem},
journal = {Ann. Statist.},
volume = {25},
number = {6},
year = {1997},
pages = { 745-755},
language = {en},
url = {http://dml.mathdoc.fr/item/1031833671}
}
Zhao, Linda H. Minimax linear estimation in a white noise problem. Ann. Statist., Tome 25 (1997) no. 6, pp. 745-755. http://gdmltest.u-ga.fr/item/1031833671/