Estimating a Bounded Normal Mean
Casella, George ; Strawderman, William E.
Ann. Statist., Tome 9 (1981) no. 1, p. 870-878 / Harvested from Project Euclid
The problem of estimating a normal mean has received much attention in recent years. If one assumes, however, that the true mean lies in a bounded interval, the problem changes drastically. In this paper we show that if the interval is small (approximately two standard deviations wide) then the Bayes rule against a two point prior is the unique minimax estimator under squared error loss. For somewhat wider intervals we also derive sufficient conditions for minimaxity of the Bayes rule against a three point prior.
Publié le : 1981-07-14
Classification:  Minimax,  normal mean,  least favorable prior,  62C99,  62F10
@article{1176345527,
     author = {Casella, George and Strawderman, William E.},
     title = {Estimating a Bounded Normal Mean},
     journal = {Ann. Statist.},
     volume = {9},
     number = {1},
     year = {1981},
     pages = { 870-878},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176345527}
}
Casella, George; Strawderman, William E. Estimating a Bounded Normal Mean. Ann. Statist., Tome 9 (1981) no. 1, pp.  870-878. http://gdmltest.u-ga.fr/item/1176345527/