Optimal fixed size confidence procedures for a restricted parameter space

DOI10.1214/AOS/1176346713MaRDI QIDQ1057010zbMATH OpenOpenAlexFDO

Authors Mehmet Zeytinoglu, Max Mintz

Publication date 1984

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176346713

zbMATH Keywords

confidence coefficientconfidence procedureslocation parameter estimationmean of normal random variableMinimax admissible Bayes estimatorsoptimal fixed size confidence procedurerestricted parameter spacezero-one loss function

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Admissibility in statistical decision theory (62C15) Minimax procedures in statistical decision theory (62C20) Parametric tolerance and confidence regions (62F25)

Review text

Suppose Z is a single observation from \(N(\theta,1),\theta \in \Omega =[- d, d]\). Let A be the action space of the statistician and define a loss function L on \(A\times \Omega\) by \(L(a,\theta)=0\) if \(| a-\theta | \leq e\) and 1 if \(| a-\theta | >e\) where \(e>0\) is given. Minimax admissible Bayes estimators \(\delta^*(Z)\) for \(\theta\) with respect to L are determined. The results are extended to include the case where the sampling distribution has a density function which is unimodal and symmetric about the location parameter. The connection between the minimax rule \(\delta^*\) and an optimal fixed size confidence procedure is obtained by noting that \(C^*(Z) = [\delta^*(Z)-e, \delta^*(Z)+e]\) can be interpreted as a confidence procedure of size 2e which has the highest confidence coefficient equal to \(\inf_{\theta} P_{\theta} \{\theta\in C^*(Z)\}\).

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(12)

• Robust fixed size confidence procedures for a restricted parameter space
• Minimax rules under zero-one loss for a restricted location parameter
• A note on admissibility of the maximum likelihood estimator for a bounded normal mean
• An adaptation theory for nonparametric confidence intervals
• Minimax risk bounds in extreme value theory
• Lower confidence regions for restricted parameter spaces
• On fixed-length confidence intervals for a bounded normal mean
• Minimax expected measure confidence sets for restricted location parameters
• Optimal bayesian confidence interval of fixed width
• Bayes and Admissible Set Estimation
• On the limitations of fixed‐step‐size adaptive methods with response confidence
• scientific article; zbMATH DE number 5061928 (Why is no real title available?)

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