Bias-Variance Tradeoffs in Functional Estimation Problems

Mark G. Low

doi:10.1214/aos/1176324624

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Home > Journals > Ann. Statist. > Volume 23 > Issue 3 > Article

June, 1995 Bias-Variance Tradeoffs in Functional Estimation Problems

Mark G. Low

Ann. Statist. 23(3): 824-835 (June, 1995). DOI: 10.1214/aos/1176324624

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Abstract

It is shown in infinite-dimensional Gaussian problems that affine estimators minimax the variance among all estimators of a linear functional subject to a constraint on the bias. Likewise, affine estimators also minimax the square of the bias among all estimates of a linear functional subject to a constraint on the variance.

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Mark G. Low. "Bias-Variance Tradeoffs in Functional Estimation Problems." Ann. Statist. 23 (3) 824 - 835, June, 1995. https://doi.org/10.1214/aos/1176324624