On selecting the best natural exponential families with quadratic variance function

We consider a problem of selecting a best of k one parameter exponential families with quadratic variance functions which is associated with the largest mean. It is shown that the minimax value under the "0-1" loss function is 1 - 1/k. Also the Bayes rules are discussed under the "0-1" loss and the other loss functions.

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Year of publication:	1995
Authors:	Abughalous, Mansour M. ; Bansal, Naveen K.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 25.1995, 4, p. 341-349
Publisher:	Elsevier
Keywords:	Natural exponential families with quadratic variance function Minimax value Bayes selection rules Selection

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005223345