Some Examples
In general it is difficult, often even impossible to determine the minimax estimator. Nonetheless, in many cases a minimax estimator has been determined.
Example 3, Bounded Normal Mean: When estimating the Mean of a Normal Vector, where it is known that . The Bayes estimator with respect to a prior which is uniformly distributed on the edge of the bounding sphere is known to be minimax whenever . The analytical expression for this estimator is
where, is the modified Bessel function of the first kind of order n.
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