Let Y be a random vector taking its values in a measurable space and let z be a vector-valued function defined on that space. We consider gamma minimax estimation of the unknown expected value p of the random vector z(Y). We assume a weighted squared error loss function.
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-am30-1-1,
author = {Maciej Wilczy\'nski},
title = {Gamma minimax nonparametric estimation},
journal = {Applicationes Mathematicae},
volume = {30},
year = {2003},
pages = {1-10},
zbl = {1019.62029},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am30-1-1}
}
Maciej Wilczyński. Gamma minimax nonparametric estimation. Applicationes Mathematicae, Tome 30 (2003) pp. 1-10. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am30-1-1/