Optimal estimators for threshold-based quality measures
We consider a problem in parametric estimation: given $n$ samples from an unknown distribution, we want to estimate which distribution, from a given one-parameter family, produced the data. Following Schulman and Vazirani, we evaluate an estimator in terms of the chance of being within a specified tolerance of the correct answer, in the worst case. We provide optimal estimators for several families of distributions on $\mathbb{R}$. We prove that for distributions on a compact space, there is always an optimal estimator that is translation-invariant, and we conjecture that this conclusion also holds for any distribution on $\mathbb{R}$. By contrast, we give an example showing it does not hold for a certain distribution on an infinite tree.