This chapter is devoted to the implementation and evaluation of decision-theoretic analysis based on the minimax principle introduced in Section 1.5. We began Chapter 4 with a discussion of axioms of rational behavior, and observed that they lead to a justification of Bayesian analysis. It would be nice to be able to say something similar about minimax analysis, but the unfortunate fact is that minimax analysis is not consistent with such sets of axioms. We are left in the uncomfortable position of asking why this chapter is of any interest. (Indeed many Bayesians will deny that it is of any interest.) It thus behooves us to start with a discussion of when minimax analysis can be useful.
KeywordsStatistical Game Minimax Regret Minimax Principle Minimax Estimator Risk Point
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