Volume 50, pp. 109-128, 2018.

Probability, minimax approximation, and Nash-equilibrium. Estimating the parameter of a biased coin

David Benko, Dan Coroian, Peter Dragnev, and Ramón Orive

Abstract

This paper deals with the application of approximation theory techniques to study a classical problem in probability: estimating the parameter of a biased coin. For this purpose, a minimax estimation problem is considered, and the characterization of the optimal estimator is shown together with the weak asymptotics of such optimal choices as the number of coin tosses approaches infinity. In addition, a number of numerical examples and graphs are provided. At the same time, the problem is also discussed from the game theory viewpoint, as a non-cooperative, two-player game, and the existence of a Nash-equilibrium is established. The particular case of $n=2$ tosses is completely solved.

Full Text (PDF) [476 KB], BibTeX , DOI: 10.1553/etna_vol50s109

Key words

minimax optimization, biased probability, polynomial interpolation and approximation, Nash-equilibrium

AMS subject classifications

65C50, 41A10, 91A05, 41A05