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Minimax and bayes estimation in deconvolution problem*

Mikhail Ermakov (2008)

ESAIM: Probability and Statistics

We consider a deconvolution problem of estimating a signal blurred with a random noise. The noise is assumed to be a stationary Gaussian process multiplied by a weight function function εh where h ∈ L2(R1) and ε is a small parameter. The underlying solution is assumed to be infinitely differentiable. For this model we find asymptotically minimax and Bayes estimators. In the case of solutions having finite number of derivatives similar results were obtained in [G.K. Golubev and R.Z. Khasminskii,...

Minimax mutual prediction

Stanisław Trybuła (2000)

Applicationes Mathematicae

The problems of minimax mutual prediction are considered for binomial and multinomial random variables and for sums of limited random variables with unknown distribution. For the loss function being a linear combination of quadratic losses minimax mutual predictors are determined where the parameters of predictors are obtained by numerical solution of some equations.

Minimax mutual prediction of multinomial random variables

Stanisław Trybuła (2003)

Applicationes Mathematicae

The problem of minimax mutual prediction is considered for multinomial random variables with the loss function being a linear combination of quadratic losses connected with prediction of particular variables. The basic parameter of the minimax mutual predictor is determined by numerical solution of some equation.

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