7 Minimax Estimation
Previously we have looked at Bayes estimation when the overall measure of the es- timation error is weighted over all values of the parameter space, with a positive weight function, a prior. Now we use the maximum risk as a relevant measure of the estimation risk,
sup R(✓, ), ✓ and define the minimax estimator, if it exists, as the estimator that minimizes this risk, i.e.