| Article ID: | iaor20052391 |
| Country: | Netherlands |
| Volume: | 133 |
| Issue: | 1 |
| Start Page Number: | 285 |
| End Page Number: | 302 |
| Publication Date: | Jan 2005 |
| Journal: | Annals of Operations Research |
| Authors: | Howlett Phil, Torokhti Anatoli, Pearce Charles |
| Keywords: | programming: mathematical |
We present a new approach to the optimal estimation of random vectors. The approach is based on a combination of a specific iterative procedure and the solution of a best approximation problem with a polynomial approximant. We show that the combination of these new techniques allow us to build a computationally effective and flexible estimator. The strict justification of the proposed technique is provided.