Date of this Version
The Annals of Statistics
Linear estimation of f(x) at a point in a white noise model is considered. The exact linear minimax estimator of f(0) is found for the family of f(x) in which f′(x) is Lip (M). The resulting estimator is then used to verify a conjecture of Sacks and Ylvisaker concerning the near optimality of the Epanechnikov kernel.
white noise model, Epanechnikov kernel, linear minimax estimation, density estimation
Zhao, L. H. (1997). Minimax Linear Estimation in a White Noise Problem. The Annals of Statistics, 25 (2), 745-755. http://dx.doi.org/10.1214/aos/1031833671
Date Posted: 27 November 2017
This document has been peer reviewed.