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  • 1
    Electronic Resource
    Electronic Resource
    Linear minimax estimation with ellipsoidal constraints (1996)
    Springer
    Acta applicandae mathematicae 43 (1996), S. 3-15 
    Details
    ISSN: 1572-9036
    Keywords: 62J05 ; linear minimax estimation ; ellipsoidal constraints
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Abstract We consider the simultaneous linear minimax estimation problem in linear models with ellipsoidal constraints imposed on an unknown parameter. Using convex analysis, we derive necessary and sufficient optimality conditions for a matrix to define the linear minimax estimator. For certain regions of the set of characteristics of linear models and constraints, we exploit these optimality conditions and get explicit formulae for linear minimax estimators.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00046984
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    Paper (German National Licenses)
    Fulltext
  • 2
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    A Geometrical Characterization of the Multidimensional Hausdorff and Dale Polytopes with Applications to Exit Time Problems (2004)
    Details
    Publication Date: 2014-02-26
    Description: We present formulae for the corner points of the multidimensional Hausdorff and Dale Polytopes and show how these results can be used to improve linear programming models for computing e.\,g.\ moments of exit distribution of diffusion processes. Specifically, we compute the mean exit time of twodimensional Brownian motion from the unit square and the unit triangle, as well as higher moments of the exit time of time space Brownian motion from a triangle.
    Keywords: ddc:000
    Language: English
    Type: reportzib , doc-type:preprint
    Format: application/postscript
    Format: application/pdf
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