A minimax bivariate normal model selection

MaRDI QIDQ1114247zbMATH OpenFDO

Authors Keh-Wei Chen

Publication date 1987

Published in Metron (Search for Journal in Brave)

zbMATH Keywords

minimax model selection rule

Mathematics Subject Classification ID

Minimax procedures in statistical decision theory (62C20) Statistical decision theory (62C99)

Review text

This paper considers the problem of choosing one among all possible submodels \(N((0,0),I_ 2)\), \(N((\theta_ 1,0),I_ 2)\), \(N((0,\theta_ 2),I_ 2)\), \(N((\theta_ 1,\theta_ 2),I_ 2)\) based on the observation X from \(N((\theta_ 1,\theta_ 2),I_ 2)\) where \((\theta_ 1,\theta_ 2)\in R^ 2\) and \(I_ 2\) is the \(2\times 2\) identity matrix. The general form of a model selection rule is given by \(I_{\underline f}(x)=(I_{f_ 1}(x),I_{f_ 2}(x))\) where \(f_ j\) is a Borel function with \(0\leq f_ j(x)\leq 1\) for \(j=1,2\) and \(I_{f_ j}(x)=1\) with probability \(f_ j(x)\) and 0 with probability \((1-f_ j(x))\). It is shown that there exists a minimax model selection rule relative to a loss function which takes into account both inaccuracy and complexity.

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