The asymptotic minimax risk for the estimation of constrained binomial and multinomial probabilities

Dietrich Braess and Holger Dette

No 2004,18, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

Abstract: In this note we present a direct and simple approach to obtain bounds on the asymptotic minimax risk for the estimation of restrained binominal and multinominal proportions. Quadratic, normalized quadratic and entropy loss are considered and it is demonstrated that in all cases linear estimators are asymptotically minimax optimal. For the quadratic loss function the asymptotic minimax rsik does not change unless a neighborhood of the point 1/2 is excluded by the restrictions on the parameter space. For the two other loss functions the asymptotic minimax risks remain unchanged if additional knowledge about the location of the unknown probability of success is imposed. The results are also extended to the problem of minimax estimation of a vector of contrained multinominal propabilities.

Keywords: binominal distribution; multinominal distribution; entropy loss; quadratic loss; constrained parameter space; least favourable distribution (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb475:200418

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