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

Volume 29 / 2002

Agata Boraty/nska Applicationes Mathematicae 29 (2002), 7-13 MSC: Primary 62C10; Secondary 62F15. DOI: 10.4064/am29-1-2


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.


  • Agata Boraty/nskaInstitute of Econometrics
    Warsaw School of Economics
    Al. Niepodległości 162
    02-554 Warszawa, Poland

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