Title: Minimax estimation over ellipsoids in ℓ<sub>2</sub>
Abstract: We consider the problem of estimating the mean θ of an observed infinite dimensional vector with uncorrelated components. We prove that if θ is known to lie in a ℓ2-ellipsoid, then the minimax linear estimator of the mean is minimax among all estimators. We derive this result assuming that the loss of estimation is measured by the squared norm in ℓ2.
Publication Year: 2008
Publication Date: 2008-04-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 1
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