A problem of minimax estimation with directional information

Thomas S. Ferguson

Statistics & Probability Letters, 1996, vol. 26, issue 3, 205-211

Abstract: This problem is in the area of minimax selection of experiments. Nature chooses a number [theta] in the closed interval [-1, 1]. The statistician chooses a number y in the same interval (an experiment) and is informed whether [theta] y. Based on this information, the statistician then estimates [theta] with squared error loss. The minimax solution of this problem is found. The minimax value is 1/(2e). The least favorable distribution involves the truncated t-distribution with two degrees of freedom. The minimax choice of experiment involves the truncated t-distribution with zero degrees of freedom.

Keywords: Selection; of; experiments; Optimal; design; Search; games; Minimum; variance; partitions (search for similar items in EconPapers)
Date: 1996
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0167-7152(95)00011-9
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:26:y:1996:i:3:p:205-211

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().