Gamma minimax nonparametric estimation
Volume 30 / 2003
Applicationes Mathematicae 30 (2003), 1-10
MSC: 62C20, 62G05.
DOI: 10.4064/am30-1-1
Abstract
Let $Y$ be a random vector taking its values in a measurable space and let ${\boldsymbol z}$ be a vector-valued function defined on that space. We consider gamma minimax estimation of the unknown expected value ${\boldsymbol p}$ of the random vector ${\boldsymbol z}(Y)$. We assume a weighted squared error loss function.
