Minimaxity of a preliminary test estimator for the mean of normal distribution |
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Authors: | Yasushi Nagata Taichi Inaba |
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Institution: | (1) Osaka University, Osaka, Japan |
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Abstract: | Summary The problem is to estimate the mean of the normal distribution under the situation where there is vague information that the
mean might be equal to zero. A minimax property of the preliminary test estimator obtained by the use of AIC (Akaike information
Criterion) procedure is proved under a loss function based on the Kullback-Leibler information measure. |
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Keywords: | Preliminary test estimator minimaxity AIC Kullback-Leibler information measure |
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