The Bayes rule of the parameter in (0,1) under the power-log loss function with an application to the beta-binomial model

ABSTRACT

We propose the power-log loss function plotted in Figure 1 for the restricted parameter space $(0,1)$, which satisfies all the six properties listed in Table 1 for a good loss function on $(0,1)$. In particular, the power-log loss function penalizes gross overestimation and gross underestimation equally, is convex in its argument, and attains its global minimum at the true unknown parameter. The power-log loss function on $(0,1)$ is an analog of the power-log loss function on $(0,\mathrm{\infty })$, which is the popular Stein's loss function. We then calculate the Bayes rule (estimator) of the parameter in $(0,1)$ under the power-log loss function, the posterior expected power-log loss (PEPLL) at the Bayes estimator, and the integrated risk under the power-log loss (IRPLL) at the Bayes estimator, which is also the Bayes risk under the power-log loss (BRPLL). We also calculate the usual Bayes estimator under the squared error loss, which has been proved to be larger than that under the power-log loss. Next, we analytically calculate the Bayes estimators and the PEPLL at the Bayes estimators under a beta-binomial model. Finally, the numerical simulations and a real data example of some monthly magazine exposure data exemplify our theoretical studies of two size relationships about the Bayes estimators and the PEPLLs.

KEYWORDS:

• Bayes rule
• restricted parameter space (0, 1)
• the power-log loss function
• posterior expected loss
• beta-binomial model

2010 MSC:

• 62F10
• 62F15
• 62C10

Disclosure statement

No potential conflict of interest was reported by the authors.

ORCID

Ying-Ying Zhang  http://orcid.org/0000-0002-6279-3662.

Additional information

Funding

This work was supported by the Fundamental Research Funds for the Central Universities [grant number CQDXWL-2012-004].