Estimation of the binomial parameter, using an apriori hypothesis about its value

Abstract

We study estimation of the parameter p of a r.v. x ∼ Bin(p,n) using the prior hypothesis that p equals a prepecified value P_o when we entertain the possibility that P_o is not the right value of p, which then could be any value in (0.1). We apply notions of Hodges and Lehmann (1952), Bickel (1984) and Berger (1982) to obtain (biased) estimators which do well under the hypothesis that p = p_o at a small price in maximum risk. A number of examples and comparisons are discussed at the end of the paper.

Keywords:

• constrained minimax estimation
• binomial
• unbiased estimator of risk