Open Access
2011 Bayesian improvements of a MRE estimator of a bounded location parameter
Éric Marchand, Amir T. Payandeh Najafabadi
Electron. J. Statist. 5: 1495-1502 (2011). DOI: 10.1214/11-EJS642


We study the frequentist risk performance of Bayesian estimators of a bounded location parameter, and focus on conditions placed on the shape of the prior density guaranteeing dominance over the minimum risk equivariant (MRE) estimator. For a large class of even and logconcave densities, even convex loss functions, we demonstrate in a unified manner that symmetric priors which are bowled shaped and logconcave lead to Bayesian dominating estimators. The results generalize similar results obtained by Marchand and Strawderman for the fully uniform prior, as well as those obtained by Kubokawa for squared error loss. Finally, we present a detailed example and several remarks.


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Éric Marchand. Amir T. Payandeh Najafabadi. "Bayesian improvements of a MRE estimator of a bounded location parameter." Electron. J. Statist. 5 1495 - 1502, 2011.


Published: 2011
First available in Project Euclid: 23 November 2011

zbMATH: 1271.62046
MathSciNet: MR2861695
Digital Object Identifier: 10.1214/11-EJS642

Primary: 62C20 , 62F10 , 62F30

Keywords: Bayes estimator , bounded mean , dominance , location family , logconcavity , minimum risk equivariant , restricted parameter space

Rights: Copyright © 2011 The Institute of Mathematical Statistics and the Bernoulli Society

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