2.II.19D

Statistics | Part IB, 2005

Let X1,…,XnX_{1}, \ldots, X_{n} be a random sample from a probability density function f(x∣θ)f(x \mid \theta), where θ\theta is an unknown real-valued parameter which is assumed to have a prior density π(θ)\pi(\theta). Determine the optimal Bayes point estimate a(X1,…,Xn)a\left(X_{1}, \ldots, X_{n}\right) of θ\theta, in terms of the posterior distribution of θ\theta given X1,…,XnX_{1}, \ldots, X_{n}, when the loss function is

L(θ,a)={γ(θ−a) when θ⩾aδ(a−θ) when θ⩽aL(\theta, a)= \begin{cases}\gamma(\theta-a) & \text { when } \theta \geqslant a \\ \delta(a-\theta) & \text { when } \theta \leqslant a\end{cases}

where γ\gamma and δ\delta are given positive constants.

Calculate the estimate explicitly in the case when f(x∣θ)f(x \mid \theta) is the density of the uniform distribution on (0,θ)(0, \theta) and π(θ)=e−θθn/n!,θ>0\pi(\theta)=e^{-\theta} \theta^{n} / n !, \theta>0.

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