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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

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.

Citation

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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

Information

Published: June, 1995
First available in Project Euclid: 11 April 2007

zbMATH: 0838.62006
MathSciNet: MR1345202
Digital Object Identifier: 10.1214/aos/1176324624

Subjects:
Primary: 62C05
Secondary: 62E20, 62G05, 62J02, 62M99

Rights: Copyright © 1995 Institute of Mathematical Statistics

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Vol.23 • No. 3 • June, 1995
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