Estimating a Bounded Normal Mean

Abstract

The problem of estimating a normal mean has received much attention in recent years. If one assumes, however, that the true mean lies in a bounded interval, the problem changes drastically. In this paper we show that if the interval is small (approximately two standard deviations wide) then the Bayes rule against a two point prior is the unique minimax estimator under squared error loss. For somewhat wider intervals we also derive sufficient conditions for minimaxity of the Bayes rule against a three point prior.