A Gaussian sequence approach for proving minimaxity: a review

DOI10.1016/J.JSPI.2020.06.007MaRDI QIDQ826979zbMATH OpenOpenAlexFDO

Authors Yuzo Maruyama, William E. Strawderman

Publication date 6 January 2021

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1810.02088

zbMATH Keywords

covariance matrixequivarianceinvarianceleast favorable priorminimaxity

Mathematics Subject Classification ID

Minimax procedures in statistical decision theory (62C20) Estimation in multivariate analysis (62H12)

Abstract: This paper reviews minimax best equivariant estimation in these invariant estimation problems: a location parameter, a scale parameter and a (Wishart) covariance matrix. We briefly review development of the best equivariant estimator as a generalized Bayes estimator relative to right invariant Haar measure in each case. Then we prove minimaxity of the best equivariant procedure by giving a least favorable prior sequence based on non-truncated Gaussian distributions. The results in this paper are all known, but we bring a fresh and somewhat unified approach by using, in contrast to most proofs in the literature, a smooth sequence of non truncated priors. This approach leads to some simplifications in the minimaxity proofs.

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Cited in

(2)

• Minimaxity in estimation of restricted and non-restricted scale parameter matrices
• Minimaxity and Equivariance in Infinite Dimension

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