A note on admissibility of the maximum likelihood estimator for a bounded normal mean

In estimating a bounded normal mean, it is known that the maximum likelihood estimator is inadmissible for squared error loss function. In this paper, we discuss the admissibility for other loss functions. We prove that the maximum likelihood estimator is admissible under absolute error loss.

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Year of publication:	1997
Authors:	Iwasa, Manabu ; Moritani, Yoshiya
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 32.1997, 1, p. 99-105
Publisher:	Elsevier
Keywords:	Absolute error loss Admissibility Bayes estimator Bounded normal mean Integral equation Restricted maximum likelihood estimator

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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