Statistics Statistical decision theory Concept
Minimax estimator
Summary
A minimax estimator is an estimator whose worst-case risk, over all values of the unknown parameter, is as small as possible. The smallest achievable worst-case risk is the minimax risk of the problem. The minimax principle gives a way to choose among estimators without a prior, and it is a basic benchmark in decision theory and nonparametric statistics.
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| Tag | 8EG1M1WZ9C |
|---|---|
| URI | m2://8EG1M1WZ9C |
| Kind | concept |
| Writing | W0 stub |
| MSC | 62C20 |
| Same as |
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