Two-point priors and minimax estimation of a bounded parameter under convex loss
Volume 32 / 2005
Applicationes Mathematicae 32 (2005), 145-153
MSC: Primary 62C10, 62C20; Secondary 62F15.
DOI: 10.4064/am32-2-3
Abstract
The problem of minimax estimation of a parameter ${\theta }$ when ${\theta }$ is restricted to a finite interval $[{\theta }_0,{\theta }_0+m]$ 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 ${\theta }_0$ and ${\theta }_0+m$ are obtained. An example is presented.
