Minimax estimation for the bounded mean of a bivariate normal distribution

Minimax estimation for the bounded mean of a bivariate normal distribution

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Article ID: iaor19961864
Country: Germany
Volume: 42
Issue: 6
Start Page Number: 379
End Page Number: 394
Publication Date: Nov 1995
Journal: Metrika
Authors: , ,
Keywords: Bayesian modelling
Abstract:

A bivariate normal distribution is considered whose mean lies in an equilateral triangle. The authors show by a convexity argument that the three point prior having mass equ1 at each of the edges is least favourable if the length of a side of the equilateral triangle is less than or equal to equ2. Thus the corresponding Bayes estimator is minimax in that case. Numerical studies are given as well.

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