Minimax estimation of a lower-bounded scale parameter of an F distribution

Abstract

In their paper on group-Bayes estimation of the exponential mean, van Eeden and Zidek (1994, Test 3, 125–143) consider, among many other things, the minimax estimation of a lower-bounded scale parameter of an F distribution. They leave open the question of whether the estimator which is unique minimax among the truncated linear ones is minimax among all estimators. In this note it is shown that it is.