Minimax prediction under random sample size
Volume 29 / 2002
Applicationes Mathematicae 29 (2002), 127-134
MSC: Primary 62F10.
DOI: 10.4064/am29-2-1
Abstract
A class of minimax predictors of random variables with multinomial or multivariate hypergeometric distribution is determined in the case when the sample size is assumed to be a random variable with an unknown distribution. It is also proved that the usual predictors, which are minimax when the sample size is fixed, are not minimax, but they remain admissible when the sample size is an ancillary statistic with unknown distribution.
