Minimax Simple Bayes Estimators of a Normal Variance

ABSTRACT This paper is a follow‐up to an earlier study, which identified a new class of generalized Bayes estimators with a particularly simple form for estimating a normal variance under entropy loss. Although the previous work established the Bayesianity of these estimators, it did not provide a closed‐form result for their minimaxity. In this paper, we revisit the problem and establish a definitive closed‐form minimaxity result for this class of simple Bayes estimators.