Minimaxity in Estimation of Restricted Parameters

Tatsuya Kubokawa
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Tatsuya Kubokawa: Faculty of Economics, The University of Tokyo

No CIRJE-F-270, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: This paper is concerned with estimation of the restricted parameters in location and/or scale families from a decision-theoretic point of view. A simple method is provided to show the minimaxity of the best equivariant and unrestricted estimators. This is based on a modification of the known method of Girshick and Savage (1951) and can be applied to more complicated cases of restriction in the location-scale family. Classes of minimax estimators are also constructed by using the IERD method of Kubokawa (1994a, b): Especially, the paper succeeds in constructing such a class for estimating a restricted mean in a normal distribution with an unknown variance.

Pages: 24 pages
Date: 2004-03
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2004cf270

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