Minimax Simple Bayes Estimators of a Normal Variance

Abstract

This paper is a follow-up to Maruyama and Strawderman (2006, Journal of Statistical Planning and Inference), which identified a new class of generalized Bayes estimators with a particularly simple form for estimating a normal variance under entropy loss. Although their previous work established the Bayesianity of these estimators, it did not provide a closed-form result for their minimaxity. In this paper, we revisit the problem and establish a definitive closed-form minimaxity result for this class of simple Bayes estimators.