On Adaptive Estimation
The Annals of Statistics · 1982 · Volume 10 · Issue 3
Abstract
We simplify a general heuristic necessary condition of Stein's for adaptive estimation of a Euclidean parameter in the presence of an infinite dimensional shape nuisance parameter and other Euclidean nuisance parameters. We derive sufficient conditions and apply them in the construction of adaptive estimates for the parameters of linear models and multivariate elliptic distributions. We conclude with a review of issues in adaptive estimation.
Keywords
62F20, 62G20, Adaptation, efficient estimation, elliptic distributions, linear models
Enable JavaScript for citation tools and additional paper interactions.