Minimax Estimator for linear models with nonrandom disturbances
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.
|Date of creation:||Jan 1995|
|Date of revision:|
|Contact details of provider:|| Postal: Bonn Graduate School of Economics, University of Bonn, Adenauerallee 24 - 26, 53113 Bonn, Germany|
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- Norbert Christopeit & Kurt Helmes, 1991. "On Minimax Estimation in Linear Regression Models with Ellipsoidal Constraints," Discussion Paper Serie B 205, University of Bonn, Germany.
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