Minimaxity of Pitman estimators

equivariant Pitman estimator G- invariant homogeneous parameter space level compact locally compact location parameter families loss function non-randomized Pitman estimators Pitman estimator posterior distribution separating topological group translation invariant experiments

Mathematics Subject Classification ID

Foundations and philosophical topics in statistics (62A01) Minimax procedures in statistical decision theory (62C20)

Review text

It is known that the Pitman estimator is minimax for translation invariant experiments with a Euclidean parameter space. This result is extended to experiments whose parameter space is homogeneous under the operation of a topological group. Let \(\mu\) be G-invariant and E be \(\mu\)-integrable of order \(p+1\) (p\(\geq 0)\). Let F be a posterior distribution, given \(\mu\), and let the loss function W be separating, level compact of order p, and G-invariant. Then the following results hold: (i) there exist non-randomized Pitman estimators, (ii) if E is G- invariant then every Pitman-estimator is equivariant under a given condition, and (iii) if E is G-invariant and G is locally compact then every equivariant Pitman estimator is minimax, under a set of given conditions.

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