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Q145Section III (Statistics)145 of 190

A loss function engineered to make Xˉ\bar X both Bayes and minimax

Suppose X1,X2,…,XnX_1,X_2,\dots,X_n be i.i.d. Bernoulli(θ\theta). Let the loss function for the problem of estimation of θ\theta be given by L(θ,a)=(θ−a)2θ(1−θ)L(\theta,a)=\dfrac{(\theta-a)^2}{\theta(1-\theta)}. Let the pdf of the prior for θ\theta (π(θ)\pi(\theta)) be given by π(θ)=1, 0≤θ≤1\pi(\theta)=1,\ 0\le\theta\le1. Let Xˉ\bar X be the sample mean. Then:

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