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A Minimax Result in a Model with Infinitely Many Nuisance Parameters

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Abstract

In a “errors-in-variables” model a local asymptotic minimax risk bound is established. In the case of bounded loss functions it is attained by the maximum likelihood estimator. Furthermore, a certain modified estimator is constructed, which is optimal in the minimax sense for any loss function with polynomial major, possible unbounded.

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References

  • Ibragiraov I. A. Khasminski R. Z. (1983): On the efficient estimation in the presence of an infinite dimensional nuisance parameter (in Russian). In: Prooceedings of the USSR — Japan Symposium on Frobality theory and Mathematical Statistics, Tiblissi, Springer Lecture notes in statistics, to appear

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© 1988 Academia, Publishing House of the Czechoslovak Academy of Sciences, Prague

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Nussbaum, M., Zwanzig, S. (1988). A Minimax Result in a Model with Infinitely Many Nuisance Parameters. In: Transactions of the Tenth Prague Conference on Information Theory, Statistical Decision Functions, Random Processes. Transactions of the Tenth Prague Conference on Information Theory, Statistical Decision Functions, Random Processes, vol 10A-B. Springer, Dordrecht. https://doi.org/10.1007/978-94-010-9913-4_27

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  • DOI: https://doi.org/10.1007/978-94-010-9913-4_27

  • Publisher Name: Springer, Dordrecht

  • Print ISBN: 978-94-010-9915-8

  • Online ISBN: 978-94-010-9913-4

  • eBook Packages: Springer Book Archive

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