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Minimax Estimation of a Mean Vector for Distributions on a Compact Set
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 20 / Issue 2 / November 1990
- Published online by Cambridge University Press:
- 29 August 2014, pp. 173-179
- Print publication:
- November 1990
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- Article
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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.
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.