On minimax filtering over ellipsoids
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Publication date
1994-01-01
Authors
Belitser, E.N.
Levit, B.Y.
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Document Type
Preprint
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Abstract
The problem of estimating the mean of an observed Gaussian innite-dimensional vector with independent components is studied, when vector is known to lie in a l 2 -ellipsoid and the variances of the components need not be equal. Under some general assumptions on the ellipsoid we provide the second-order behaviour of the minimax risk.
Keywords
Gaussian noise, ellipsoid, minimax linear risk, asymptotically minimax estimator, second-order asymptotics