Conditional ¡-minimax actions under convex losses
Bruno Betrò, Fabrizio Ruggeri · Communication in Statistics- Theory and Methods · 1992
The problem of making decisions about an unknown parameter is examined under a convex loss function, when its prior distribution may not be uniquely specified on the basis of the available information. Following the conditional ¡-minimax approach, an action is chosen such that it minimises the maximum posterior expected loss. The characterising properties of such an action, called a conditional ¡-minimax action, are found and illustrated in three examples.