On selecting the best natural exponential families with quadratic variance function

Mansour M. Abughalous and Naveen K. Bansal

Statistics & Probability Letters, 1995, vol. 25, issue 4, 341-349

Abstract: We consider a problem of selecting a best of k one parameter exponential families with quadratic variance functions which is associated with the largest mean. It is shown that the minimax value under the "0-1" loss function is 1 - 1/k. Also the Bayes rules are discussed under the "0-1" loss and the other loss functions.

Keywords: Natural; exponential; families; with; quadratic; variance; function; Minimax; value; Bayes; selection; rules; Selection (search for similar items in EconPapers)
Date: 1995
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Citations: View citations in EconPapers (1)

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