Introduces the constrained multiplier criterion for misspecification-averse estimation and proves its asymptotic optimality via a local minimax theorem in a limit experiment incorporating moment constraints.
Estimation of the mean of a univariate normal distribution with known variance
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Misspecification-Averse Estimation
Introduces the constrained multiplier criterion for misspecification-averse estimation and proves its asymptotic optimality via a local minimax theorem in a limit experiment incorporating moment constraints.