J. Japan Statist. Soc., Vol. 34 (No. 2), pp. 189-206, 2004

Weighted loss functions for set estimation and testing hypotheses

Hirosuke Maihara and Masafumi Akahira

Abstract. From the decision-theoretic viewpoint, using a weighted loss we compare the risks of testing procedures in the location and scale parameter cases. We also get numerically the minimax solution of Bayes testing procedures w.r.t. a parameter of the prior distribution, under the weighted loss.

Key words and phrases: Bayes testing procedure, loss function, Neyman-Pearson test, p-value, risk.

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