On a Theorem of Wald and Wolfowitz on Randomization in Statistics.
On decision-making in possibility theory
We present an alternative approach to decision-making in the framework of possibility theory, based on the idea of decision-making under uncertainty. We utilize the fact, that any possibility distribution can be viewed as an upper envelope of a set of probability distributions to which well-known minimax principle is applicable. Finally, we recall also an alternative to the minimax rule, so-called local minimax principle. Local minimax principle not only allows sequential construction of decision...
On detectors with incomplete answers
On empirical Bayes estimation of multivariate regression coefficient.
On Estimating the Variance of a Generalized Laplace.
On estimation in the multidimensional Gaussian model
On generalized entropies, Bayesian decisions and statistical diversity
On geometry of the set of admissible quadratic estimators of quadratic functions of normal parameters
We consider the problem of admissible quadratic estimation of a linear function of μ² and σ² in n dimensional normal model N(Kμ,σ²Iₙ) under quadratic risk function. After reducing this problem to admissible estimation of a linear function of two quadratic forms, the set of admissible estimators are characterized by giving formulae on the boundary of the set D ⊂ R² of components of the two quadratic forms constituting the set of admissible estimators. Different shapes and topological properties of...
On Least Favourable Two Point Priors and Minimax Estimators Under Absolute Error Loss.
On Limits of Uniquely Best Linear Estimators.
On Markovian decision processes with unbounded rewards
On maximum entropy priors and a most likely likelihood in auditing.
There are two basic questions auditors and accountants must consider when developing test and estimation applications using Bayes' Theorem: What prior probability function should be used and what likelihood function should be used. In this paper we propose to use a maximum entropy prior probability function MEP with the most likely likelihood function MLL in the Quasi-Bayesian QB model introduced by McCray (1984). It is defined on an adequate parameter. Thus procedure only needs an expected value...
On minimax estimation of the parameter in the Pólya urn scheme
On minimax sequential estimation of the mean value of a stationary Gaussian Markov process
On minimax sequential procedures for exponential families of stochastic processes
The problem of finding minimax sequential estimation procedures for stochastic processes is considered. It is assumed that in addition to the loss associated with the error of estimation a cost of observing the process is incurred. A class of minimax sequential procedures is derived explicitly for a one-parameter exponential family of stochastic processes. The minimax sequential procedures are presented in some special models, in particular, for estimating a parameter of exponential families of...
On optimal credibility premiums in multiperiod insurance
This paper focuses on the problem of optimal arrangement of a stream of premiums in a multiperiod credibility model. On the basis of a given claim history (screening) and some individual information unknown to the insurance company (signaling), we derive the optimal streams in the case when the coverage period is not necessarily fixed, e.g., because of lapses, renewals, deaths, total losses, etc.
On perturbations of strongly admissible prior distributions
On some minimax sequential decision problems with partial observability
On the Admissibility of Estimators for the Finite Population Variance.
On the admissibility of tests for discrete exponential families