Two-point priors and minimax estimation of a bounded parameter under convex loss

• Autorzy: Agata Boratyńska
• Języki publikacji: EN

Abstrakty

EN

The problem of minimax estimation of a parameter θ when θ is restricted to a finite interval [θ₀,θ₀+m] is studied. The case of a convex loss function is considered. Sufficient conditions for existence of a minimax estimator which is a Bayes estimator with respect to a prior concentrated in two points θ₀ and θ₀+m are obtained. An example is presented.

Kategorie tematyczne

• 62C20: Minimax procedures
• 62F15: Bayesian inference
• 62C10: Bayesian problems; characterization of Bayes procedures

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2005
• Tom: 32
• Numer: 2
• Strony: 145-153

Daty

wydano

2005

Twórcy

autor

Agata Boratyńska

• Institute of Econometrics, Warsaw School of Economics, Al. Niepodległości 162, 02-554 Warszawa, Poland

Identyfikatory

DOI

10.4064/am32-2-3