On the Bayesianity of minimum risk equivariant estimator for location or scale parameters under a general convex and invariant loss function

Amir T. Payandeh Najafabadi, Zudi Lu
2015 Cogent Mathematics  
The Minimum Risk Equivariant (MRE), estimator is a widely used estimator which has several well-known theoretical and practical properties. It is well known that for the square error and absolute error loss functions, the MRE estimator is a generalized Bayes estimator. This article investigates the potential Bayesianity (or generalized Bayesianity) of the MRE estimator under a general convex and invariant loss function, (⋅), for estimating the location and scale parameters of an unimodal density function.
doi:10.1080/23311835.2015.1023670 fatcat:bmpmtslc2nbxjp5w4w7rm4qttu