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Statistical estimation from an optimization viewpoint

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Abstract

Statistics and Optimization have been closely linked from the very outset. The search fora “best” estimator (least squares, maximum likelihood, etc.) certainly relies on optimizationtools. On the other hand, Statistics has often provided the motivation for the development ofalgorithmic procedures for certain classes of optimization problems. However, it is onlyrelatively recently, more specifically in connection with the development of an approximationand sampling theory for stochastic programming problems, that the full connectionhas come to light. This in turn suggests a more comprehensive approach to the formulationof statistical estimation questions. This expository paper reviews some of the features ofthis approach.

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Authors
  1. Roger J‐B Wets
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Wets, R.J. Statistical estimation from an optimization viewpoint. Annals of Operations Research 85, 79–101 (1999). https://doi.org/10.1023/A:1018934214007

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