Minimax linear estimation at a boundary point

Wayne Gao

Journal of Multivariate Analysis, 2018, vol. 165, issue C, 262-269

Abstract: This paper characterizes the minimax linear estimator of the value of an unknown function at a boundary point of its domain in a Gaussian white noise model under the restriction that the first-order derivative of the unknown function is Lipschitz continuous. The result is then applied to construct the minimax optimal estimator for the regression discontinuity design model, where the parameter of interest involves function values at boundary points.

Keywords: Boundary point; Minimax linear estimation; Modulus problem; Regression discontinuity (search for similar items in EconPapers)
Date: 2018
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Working Paper: Minimax Linear Estimation at a Boundary Point (2017)
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DOI: 10.1016/j.jmva.2018.01.001

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