Minimaxity of a preliminary test estimator for the mean of normal distribution
The problem is to estimate the mean of the normal distribution under the situation where there is vague information that the mean might be equal to zero. A minimax property of the preliminary test estimator obtained by the use of AIC (Akaike information criterion) procedure is proved under a loss function based on the Kullback-Leibler information measure.
scientific article; zbMATH DE number 3936197