A unified minimax result for restricted parameter spaces
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Publication:418243
DOI10.3150/10-BEJ336zbMATH Open1251.49024arXiv1205.1964OpenAlexW2045846608MaRDI QIDQ418243FDOQ418243
William E. Strawderman, Éric Marchand
Publication date: 28 May 2012
Published in: Bernoulli (Search for Journal in Brave)
Abstract: We provide a development that unifies, simplifies and extends considerably a number of minimax results in the restricted parameter space literature. Various applications follow, such as that of estimating location or scale parameters under a lower (or upper) bound restriction, location parameter vectors restricted to a polyhedral cone, scale parameters subject to restricted ratios or products, linear combinations of restricted location parameters, location parameters bounded to an interval with unknown scale, quantiles for location-scale families with parametric restrictions and restricted covariance matrices.
Full work available at URL: https://arxiv.org/abs/1205.1964
Recommendations
minimaxquantilescovariance matriceslinear combinationspolyhedral conesrestricted parameterslocation parametersscale parameters
Existence of optimal solutions to problems involving randomness (49J55) Optimal stochastic control (93E20)
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Cited In (16)
- Minimax estimation of a restricted mean for a one-parameter exponential family
- Restricted likelihood representation and decision-theoretic aspects of meta-analysis
- Methods for improving estimators of truncated circular parameters
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