On the general problem of mean estimation

A. S. Holevo

Journal of Multivariate Analysis, 1973, vol. 3, issue 3, 262-275

Abstract: Mean estimation for a random function is considered in its most general context, including both the case of infinite dimensional mean and exact estimation. The existence theorem for the best linear unbiased estimates is established. The general definition of the pseudobest estimate is given; necessary and sufficient conditions for the efficiency of the pseudobest estimates are obtained. As an application the problem of the periodic trend estimation is considered.

Keywords: Seminorm; locally; convex; space; best; linear; unbiased; estimate; pseudobest; estimate (search for similar items in EconPapers)
Date: 1973
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