2.II.19D

Statistics | Part IB, 2005

Let X1,,XnX_{1}, \ldots, X_{n} be a random sample from a probability density function f(xθ)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(θa) when θaδ(aθ) when θaL(\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(xθ)f(x \mid \theta) is the density of the uniform distribution on (0,θ)(0, \theta) and π(θ)=eθθn/n!,θ>0\pi(\theta)=e^{-\theta} \theta^{n} / n !, \theta>0.

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