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Optimal unbiased estimation for maximal distribution

We thank Dr. Wang Hanchao who provided some very useful suggestions to improve the first draft of this paper. This research is partially supported by Zhongtai Institute of Finance, Shandong University, Tian Yuan Fund of the National Natural Science Foundation of China (Grant Nos. L1624032. and 11526205) and Chinese SAFEA (111 Project) (Grant No. B12023).
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  • Unbiased estimation for parameters of maximal distribution is a fundamental problem in the statistical theory of sublinear expectations. In this paper, we proved that the maximum estimator is the largest unbiased estimator for the upper mean and the minimum estimator is the smallest unbiased estimator for the lower mean.

    Mathematics Subject Classification: 60E05, 60E07, 60B12.


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