Minimax estimator

Minimax estimator

In statistical decision theory, where we are faced with the problem of estimating a deterministic parameter (vector) theta in Theta from observations x in mathcal{X}. An estimator (estimation rule) delta^M ,! is called minimax if its maximal risk is minimal among all estimators of theta ,!. In a sense this means that delta^M ,! is an estimator which performs best in the worst possible case allowed in the problem.

Problem setup

Consider the problem of estimating a deterministic (not Bayesian) parameter theta in Theta from noisy or corrupt data x in mathcal{X} related through the conditional probability distribution P(x|theta),!. Our goal is to find a "good" estimator delta(x) ,! for estimating the parameter theta ,!, which minimizes some given risk function R(theta,delta) ,!. Here the risk function is the expectation of some loss function L(theta,delta) ,! with respect to P(x|theta),!. A popular example for a loss function is the squared error loss L(theta,delta)= |theta-delta|^2 ,!, and the risk function for this loss is the mean squared error (MSE).

Unfortunately in general the risk cannot be minimized, since it depends on the unknown parameter theta ,! itself (If we knew what was the actual value of theta ,!, we wouldn't need to estimate it). Therefore additional criteria for finding an optimal estimator in some sense are required. One such criterion is the minimax criteria.


Definition : An estimator delta^M:mathcal{X} rightarrow Theta ,! is called minimax with respect to a risk function R(theta,delta) ,! if it achieves the smallest maximum risk among all estimators, meaning it satisfies
sup_{theta in Theta} R(theta,delta^M) = inf_delta sup_{theta in Theta} R(theta,delta),!.

Least favorable distribution

Logically, an estimator is minimax when it is the best in the worst case. Continuing this logic, a minimax estimator should be a Bayes estimator with respect to a prior least favorable distribution of theta ,!. To demonstrate this notion denote the average risk of the Bayes estimator delta_{pi} ,! with respect to a prior distribution pi ,! as
r_{pi}=int R(theta,delta_{pi})dpi(theta),!
Definition : A prior distribution pi ,! is called least favorable if for any other distribution pi ' ,! the average risk satisfies, r_{pi} geq r_{pi '} ,!.

Theorem : If r_{pi}=sup_{theta} R(theta,delta_{pi}),!, then:

  1. delta_{pi},! is minimax.
  2. If delta_{pi},! is a unique Bayes estimator, it is also the unique minimax estimator.
  3. pi,! is least favorable.

Conclusion: If an estimator has constant risk, it is minimax. Note that it is not a necessary condition.

Example: Consider the problem of estimating the mean of n,! dimensional Gaussian random vector, x sim N(theta,I_n sigma^2),!. The Maximum likelihood (ML) estimator for theta,! in this case is simply delta_{ML}=x,!, and it risk is

R(theta,delta_{ML})=E{|delta_{ML}-theta|^2}=sum limits_1^n E{(x_i-theta_i)^2}=n sigma^2,!.

So the risk is constant, and therefore the ML estimator is minimax. Nonetheless, minimaxity does not always imply admissibility. In fact in this example, the ML estimator is known to be inadmissible (not admissible) whenever n >2,!. The famous James-Stein estimator dominates the ML whenever n >2,!. Though both estimators have the same risk n sigma^2,! when |theta| rightarrow infty,!, and they are both minimax, the James-Stein Estimator has smaller risk for any finite |theta|,!. This fact is illustrated in the following figure.

The reason for that is that the ML estimator is not an actual Bayes estimator, but rather the limit of such estimators.

Definition : A sequence of prior distributions {pi}_n,!, is called least favorable if for any other distribution pi ',!,

lim_{n rightarrow infty} r_{pi_n} leq r_{pi '},!.

Theorem 2 : If delta=lim_{n rightarrow infty} delta_{pi_n},! and sup_{theta} R(theta,delta_{pi})=lim_{n rightarrow infty} r_{pi_n} ,!, then .

  1. delta,! is minimax.
  2. The sequence {pi}_n,! is least favorable.

Notice that no uniqueness is guaranteed here. For example, the ML estimator from the previous example may be attained as the limit of Bayes estimators with respect to a uniform prior, pi_n sim U[-n,n],! with increasing support and also with respect to a zero mean normal prior pi_n sim N(0,nsigma^2),! with increasing variance. So neither the resulting ML estimator is unique minimax not the least favorable prior is unique.

Some examples

In general it is difficult, often even impossible to determine the minimax estimator. Nonetheless, in many cases a minimax estimator has been determined.

Example 1, Bounded Normal Mean: When estimating the Mean of a Normal Vector x sim N(theta,I_n sigma^2),!, where it is known that |theta|^2 leq M,!. The Bayes estimator with respect to a prior which is uniformly distributed on the edge of the bounding sphere is known to be minimax whenever M leq n,!. The analytical expression for this estimator is

where J_{n}(t),!, is the modified Bessel function of the first kind of order n,!. Example 2, Unfair Coin: Consider the problem of estimating the "success" rate of a Binomial variable, x sim B(n,theta),!. This may be viewed as estimating the rate at which an unfair coin falls on "heads" or "tails". In this case the minimax estimator is the Bayes estimator with respect to a Beta distributed prior, theta sim Beta(sqrt{n},sqrt{n}),!, and the analytical expression for it is


  • E. L. Lehmann and G. Casella (1998), Theory of Point Estimation, 2nd ed. New York: Springer-Verlag.
  • F. Perron and E. Marchand (2002), "On the minimax estimator of a bounded normal mean," Statistics and Probability Letters 58: 327-333.
  • J. O. Berger (1985), Statistical Decision Theory and Bayesian Analysis, 2nd ed. New York: Springer-Verlag. ISBN 0-387-96098-8.
  • C. Stein (1981), "Estimation of the mean of a multivariate normal distribution," Ann. Stat. 9 (6): 1135-1151.
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