Constrained Minimax Estimation of the Mean of the Normal Distribution with Known Variance
已知方差正态分布均值的受约束极小极大估计
In this paper we shall discuss the estimation of the mean of a normal distribution with variance 1. The main question in this work is the existence and computation of a least favorable distribution among all the prior distributions satisfying a given set of constraints. In the following we show that if this distribution is bounded from above on some even moment, then the least favorable distribution exists and it is either normal or discrete. The support of the discrete…