IDEAS home Printed from https://ideas.repec.org/p/zbw/sfb475/200418.html
   My bibliography  Save this paper

The asymptotic minimax risk for the estimation of constrained binomial and multinomial probabilities

Author

Listed:
  • Braess, Dietrich
  • Dette, Holger

Abstract

In this note we present a direct and simple approach to obtain bounds on the asymptotic minimax risk for the estimation of restrained binominal and multinominal proportions. Quadratic, normalized quadratic and entropy loss are considered and it is demonstrated that in all cases linear estimators are asymptotically minimax optimal. For the quadratic loss function the asymptotic minimax rsik does not change unless a neighborhood of the point 1/2 is excluded by the restrictions on the parameter space. For the two other loss functions the asymptotic minimax risks remain unchanged if additional knowledge about the location of the unknown probability of success is imposed. The results are also extended to the problem of minimax estimation of a vector of contrained multinominal propabilities.

Suggested Citation

  • Braess, Dietrich & Dette, Holger, 2004. "The asymptotic minimax risk for the estimation of constrained binomial and multinomial probabilities," Technical Reports 2004,18, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    • Handle: RePEc:zbw:sfb475:200418
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/49359/1/384013279.pdf
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:sfb475:200418. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/isdorde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.