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Minimax Estimation of a Mean Vector for Distributions on a Compact Set
Published online by Cambridge University Press: 29 August 2014
Abstract
Minimax estimation procedures for the mean vector of a distribution on a compact set under squared error type loss functions are considered. In particular, a Dirichlet process prior is used to show that a linear function of is a minimax estimator in the class of all measurable estimators and all possible distributions. This effort extends some earlier work of Bühlmann to a more general setting.
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- Copyright © International Actuarial Association 1990