Lower Bounds for the Asymptotic Bayes Risk in the Scale Model (with an Application to the Second-Order Minimax Estimation)
The Annals of Statistics · 1994 · Volume 22 · Issue 4
Abstract
The problem of Bayes estimation of the scale parameter is considered. Lower bounds for the asymptotic Bayes risk are given as the restricted parameter space increases to the positive half-line. The results are next applied to establish the second-order minimax estimator of the scale parameter. Surprisingly, the least favorable distribution coincides with that for the corresponding location parameter problem.
Keywords
62C20; 62F10; Bayes risk; information inequalities; Second-order minimax estimation;
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