Linear minimax estimation with ellipsoidal constraints |
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Authors: | Norbert Christopeit Kurt Helmes |
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Institution: | (1) Institut for Econometrics and Operations Research, University of Bonn, 53113 Bonn, Germany;(2) Institute for Operations Research, Humboldt-University Berlin, 107.178 Berlin, Germany |
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Abstract: | We consider the simultaneous linear minimax estimation problem in linear models with ellipsoidal constraints imposed on an unknown parameter. Using convex analysis, we derive necessary and sufficient optimality conditions for a matrix to define the linear minimax estimator. For certain regions of the set of characteristics of linear models and constraints, we exploit these optimality conditions and get explicit formulae for linear minimax estimators. |
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Keywords: | 62J05 |
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