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Probability, minimax approximation, and Nash-equilibrium. Estimating the parameter of a biased coin. (English) Zbl 1415.65024
Summary: 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.

MSC:
65C50 Other computational problems in probability (MSC2010)
41A05 Interpolation in approximation theory
41A10 Approximation by polynomials
91A05 2-person games
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