Bayes estimator for multinomial parameters and Bhattacharyya distances

Abstract

We derive the Bayes estimator for the parameters of a multinomial distribution under two loss functions ($1-B$ and $1-B^2$) that are based on the Bhattacharyya coefficient $B(\vec{p},\vec{q})=\sum \sqrt{p_k{q}_k}$. We formulate a non-commutative generalization relevant to quantum probability theory as an open problem. As an example application, we use our solution to find minimax estimators for a binomial parameter under Bhattacharyya loss ($1-B^2$).

Code available at https://gist.github.com/csferrie/d7a9dcbf10c5667348613dfe5980e543