Numerical Specification of Discrete Least Favorable Prior Distributions

DOI10.1137/0908028MaRDI QIDQ4728213zbMATH OpenOpenAlexFDO

Authors Peter J. Kempthorne

Publication date 1987

Published in SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0908028

zbMATH Keywords

Bayes riskiterative optimizationleast favorable distributionminimax proceduremultiobjective decision problem

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Minimax procedures in statistical decision theory (62C20) Compound decision problems in statistical decision theory (62C25) Probabilistic methods, stochastic differential equations (65C99)

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• Minimax estimation of a bounded parameter of a discrete distribution
• Further properties of frequentist confidence intervals in regression that utilize uncertain prior information
• Confidence intervals utilizing prior information in the Behrens-Fisher problem
• Minimax Prediction of the Empirical Distribution Function
• Estimating a restricted normal mean
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• Simultaneous confidence intervals for the population cell means, for two-by-two factorial data, that utilize uncertain prior information
• Adversarial meta-learning of Gamma-minimax estimators that leverage prior knowledge
• Admissibility of the usual confidence interval for the normal mean
• Lower bounds on integrated risk, subject to inequality constraints
• The coverage properties of confidence regions after model selection
• Confidence intervals centred on bootstrap smoothed estimators: an impossibility result
• Confidence intervals in general regression models that utilize uncertain prior information
• Treatment choice with nonlinear regret

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