A New Property of a Minimal Unbia...
A New Property of a Minimal Unbiased Estimator

Motivating Mathematical Concepts through Problems por Roland S McIntire

Notas del episodio

Examines the problem AX = b + epsilon looking for an unbiased estimator. when using "trace" norms.

Shows that the estimator is always the same.

The infinite collection of these results imply that the usual "best" estimator has the property that its Maximum Eigenvalue is the smallest amongst all unbiased linear estimators.

Palabras clave
Unbiased EstimatorBest LinearEigenvalueTrace NormLagrange Multiplier