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J. Wolfowitz’s Method for Constructing Sequential Minimax Estimators

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In general decision theory it is well-known that, even for fixed sample size problems, the explicit computation of minimax procedures is possible only under very special assumptions. Admitting sequential procedures makes the problem even harder; explicitly given minimax procedures are rare exceptions. Surprisingly enough, already in 1950 J. Wolfowitz constructed such solutions for several estimation problems concerning the mean of a normal distribution.

Using the basic idea behind his arguments we derive some further sequential minimax point estimators.

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© 1993 Springer-Verlag Berlin · Heidelberg

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Rauhut, B., Schmitz, N. (1993). J. Wolfowitz’s Method for Constructing Sequential Minimax Estimators. In: Diewert, W.E., Spremann, K., Stehling, F. (eds) Mathematical Modelling in Economics. Springer, Berlin, Heidelberg.

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  • Print ISBN: 978-3-642-78510-8

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