SFB 303 Discussion Paper No. B - 359

Author: Christopeit, N., and V. L. Girko
Title: Minimax Estimator for linear models with nonrandom disturbances
Abstract: This paper collects some results of the authors on minimax estimation of parameters in linear (regression) models disturbed by some nuisance parameters. In contrast to conventional modelling, the disturbances are not specified as random variables but rather as unknown parameters, for which some a priori knowledge may be available. For various models and under different a priori restrictions on parameters and disturbances, either explicit formulas for the linear minimax estimator are derived or characterizations in form of spectral equations are obtained.
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Creation-Date: Januar 1995
URL: ../1995/b/bonnsfb359.pdf

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