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Minimax Estimation of a Mean Vector for Distributions on a Compact Set

Published online by Cambridge University Press:  29 August 2014

Richard Dykstra
Richard Dykstra*
Affiliation:
University of Iowa, USA
*
Department of Statistics and Actuarial Science, University of Iowa, Iowa City, IA 52242/, USA.
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Abstract

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Minimax estimation procedures for the mean vector of a distribution on a compact set under squared error type loss functions are considered. In particular, a Dirichlet process prior is used to show that a linear function of is a minimax estimator in the class of all measurable estimators and all possible distributions. This effort extends some earlier work of Bühlmann to a more general setting.

Keywords

Minimax decision rulesquared error lossDirichlet processcompact setsBayes rulesisotonic regression
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 20 , Issue 2 , November 1990 , pp. 173 - 179
Copyright
Copyright © International Actuarial Association 1990

References

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