Minimax Estimation of the Mean of a Normal Distribution when the Parameter Space is Restricted
Bickel, P. J.
Ann. Statist., Tome 9 (1981) no. 1, p. 1301-1309 / Harvested from Project Euclid
If $X$ is a $N(\theta, 1)$ random variable, let $\rho (m)$ be the minimax risk for estimation with quadratic loss subject to $|\theta| \leq m$. Then $\rho (m) = 1 - \pi^2/m^2 + o(m^{-2})$. We exhibit estimates which are asymptotically minimax to this order as well as approximations to the least favorable prior distributions. The approximate least favorable distributions (correct to order $m^{-2}$) have density $m^{-1} \cos^2 \big(\frac{\pi}{2m} s\big), |s| \leq m$ rather than the naively expected uniform density on $\lbrack -m, m \rbrack$. We also show how our results extend to estimation of a vector mean and give some explicit solutions.
Publié le : 1981-11-14
Classification:  Minimax,  estimation,  Fisher information,  James-Stein estimate,  62F10,  62C99
@article{1176345646,
     author = {Bickel, P. J.},
     title = {Minimax Estimation of the Mean of a Normal Distribution when the Parameter Space is Restricted},
     journal = {Ann. Statist.},
     volume = {9},
     number = {1},
     year = {1981},
     pages = { 1301-1309},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176345646}
}
Bickel, P. J. Minimax Estimation of the Mean of a Normal Distribution when the Parameter Space is Restricted. Ann. Statist., Tome 9 (1981) no. 1, pp.  1301-1309. http://gdmltest.u-ga.fr/item/1176345646/