Posterior regret ${\mit \Gamma }$-minimax estimation in a normal model with asymmetric loss function

Agata Boraty/nska¹

¹ Institute of Econometrics Warsaw School of Economics Al. Niepodległości 162 02-554 Warszawa, Poland

Applicationes Mathematicae, Tome 29 (2002) no. 1, pp. 7-13.

Résumé

The problem of posterior regret ${\mit \Gamma }$-minimax estimation under LINEX loss function is considered. A general form of posterior regret ${\mit \Gamma }$-minimax estimators is presented and it is applied to a normal model with two classes of priors. A situation when the posterior regret ${\mit \Gamma }$-minimax estimator, the most stable estimator and the conditional ${\mit \Gamma }$-minimax estimator coincide is presented.

Détail

DOI : 10.4064/am29-1-2

Keywords: problem posterior regret mit gamma minimax estimation under linex loss function considered general form posterior regret mit gamma minimax estimators presented applied normal model classes priors situation posterior regret mit gamma minimax estimator stable estimator conditional mit gamma minimax estimator coincide presented