Let X1,…,Xn be a random sample from a probability density function f(x∣θ), where θ is an unknown real-valued parameter which is assumed to have a prior density π(θ). Determine the optimal Bayes point estimate a(X1,…,Xn) of θ, in terms of the posterior distribution of θ given X1,…,Xn, when the loss function is
L(θ,a)={γ(θ−a)δ(a−θ) when θ⩾a when θ⩽a
where γ and δ are given positive constants.
Calculate the estimate explicitly in the case when f(x∣θ) is the density of the uniform distribution on (0,θ) and π(θ)=e−θθn/n!,θ>0.