Minimax Estimator

A Minimax Estimator is an estimator that estimates Minimax values.

• See: Risk Function, Decision Theory, Estimator, Minimax.

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References

2015

• (Wikipedia, 2015) ⇒ http://en.wikipedia.org/wiki/Minimax_estimator Retrieved:2015-9-15.
  • In statistical decision theory, where we are faced with the problem of estimating a deterministic parameter (vector) [math]\displaystyle{ \theta \in \Theta }[/math] from observations [math]\displaystyle{ x \in \mathcal{X}, }[/math] an estimator (estimation rule) [math]\displaystyle{ \delta^M \,\! }[/math] is called minimax if its maximal risk is minimal among all estimators of [math]\displaystyle{ \theta \,\! }[/math] . In a sense this means that [math]\displaystyle{ \delta^M \,\! }[/math] is an estimator which performs best in the worst possible case allowed in the problem.

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