We show how to a derive exact distribution-free nonparametric results for minimax risk when underlying random variables have known finite bounds and means are the only parameters of interest. Transform the data with a randomized mean preserving transformation into binary data and then apply the...

We select among rules for learning which of two actions in a stationary decision problem achieves a higher expected payo¤when payoffs realized by both actions are known in previous instances. Only a bounded set containing all possible payoffs is known. Rules are evaluated using maximum risk...