Blind Minimax Estimation: Improving MSE over Least Squares
Blind Minimax Estimation: Improving MSE over Least Squares
Blind minimax estimation (BME) is a biased estimation technique for the linear regression problem, which provably dominates the ordinary least-squares approach. In other words, BME always achieves lower mean-squared error than least-squares. This web page contains a friendly introduction to BME as well as downloadable Matlab files implementing the BME algorithms.