On the Efficiency of Affine Rules in Estimating Bounded Multivariate Normal Mean
Nov 30 1991
Problems involving bounded parameter spaces, for example T-minimax and minimax estimation of bounded parameters, have received much attention in recent years. The existing literature is rich. In this paper we consider T-minimax estimation of a multivariate bounded normal mean by affine rules, and discuss the loss of efficiency due to the use of such rules instead of optimal unrestricted rules. We also investigate the behavior of 'probability restricted' affine rules, i.e., rules that have a guaranteed large probability of being in the bounded parameter space of the problem.