Posterior regret ${\mit \Gamma }$-minimax estimation in a normal model with asymmetric loss function
Volume 29 / 2002
Applicationes Mathematicae 29 (2002), 7-13
MSC: Primary 62C10; Secondary 62F15.
DOI: 10.4064/am29-1-2
Abstract
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.
