Minimax estimation of a bounded squared mean

Jianqing Fan and Irène Gijbels

Statistics & Probability Letters, 1992, vol. 13, issue 5, 383-390

Abstract: Consider a normal model with unknown mean bounded by a known constant. This paper deals with minimax estimation of the squared mean. We establish an expression for the asymptotic minimax risk. This result is applied in nonparametric estimation of quadratic functionals.

Keywords: Bayes; risk; Gaussian; white; noise; model; hardest; 1-dimensional; subproblems; minimax; risk; normal; mean; quadratic; functionals (search for similar items in EconPapers)
Date: 1992
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