Minimax Linear Estimation at a Boundary Point
Econometrics
2017-10-19 v1 Statistics Theory
Statistics Theory
Abstract
This paper characterizes the minimax linear estimator of the value of an unknown function at a boundary point of its domain in a Gaussian white noise model under the restriction that the first-order derivative of the unknown function is Lipschitz continuous (the second-order H\"{o}lder class). The result is then applied to construct the minimax optimal estimator for the regression discontinuity design model, where the parameter of interest involves function values at boundary points.
Cite
@article{arxiv.1710.06809,
title = {Minimax Linear Estimation at a Boundary Point},
author = {Wayne Yuan Gao},
journal= {arXiv preprint arXiv:1710.06809},
year = {2017}
}