A remark on robustness of linear best estimates

Rehder, Wulf

doi:10.1007/bf01902844

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Coincidence Of the Blue With A " Pseudo-best" Estimate1

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1980

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“…Theorem 5, p. 132 in Rozanov [7]). The case where B is converging towards B0 in a weak sense has been treated in Rehder [5]. A prediction result for stationary processes when the conjectured spectrum is not the true one, can be found in Grenander-Rosenblatt [3], pp.…”

Section: Coincidence Of the Blue With A " Pseudo-best" Estimatementioning

confidence: 98%

When is the pseudo-best estimator blue?

Rehder¹

1980

Ann Inst Stat Math

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SummaryLinear unbiased estimation of the mean of a random variable in Hilbert space is treated in the typical case where the mean belongs to a known subspace.The best linear estimate depends on the underlying covariance operator B0 of the random variable. This operator B0, however, is rarely completely known, so that an auxiliary operator B is used to compute a "pseudo-best" estimate. It is shown that the best and the pseudobest estimates coincide, if and only if BoB -1 leaves M invariant. Applications to linear regression are to be found in the references.

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Section: Coincidence Of the Blue With A " Pseudo-best" Estimatementioning

confidence: 98%

When is the pseudo-best estimator blue?

Rehder¹

1980

Ann Inst Stat Math

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A remark on robustness of linear best estimates

Cited by 1 publication

References 1 publication

When is the pseudo-best estimator blue?

When is the pseudo-best estimator blue?

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