Hansen (2005) obtained the efficiency bound (the lowest achievable risk) in the p-dimensional normal location model when p≥3, generalizing an earlier result of Magnus (2002) for the one-dimensional case (p=1). The classes of estimators considered are, however, different in the two cases. We provide an alternative bound to Hansen's which is a more natural generalization of the one-dimensional case, and we compare the classes and the bounds.

Giuseppe De Luca, Jan R. Magnus (2023). Shrinkage efficiency bounds: An extension. COMMUNICATIONS IN STATISTICS. THEORY AND METHODS [10.1080/03610926.2023.2173976].

Shrinkage efficiency bounds: An extension

Giuseppe De Luca
Primo
;
2023-01-01

Abstract

Hansen (2005) obtained the efficiency bound (the lowest achievable risk) in the p-dimensional normal location model when p≥3, generalizing an earlier result of Magnus (2002) for the one-dimensional case (p=1). The classes of estimators considered are, however, different in the two cases. We provide an alternative bound to Hansen's which is a more natural generalization of the one-dimensional case, and we compare the classes and the bounds.
2023
Settore SECS-P/05 - Econometria
Giuseppe De Luca, Jan R. Magnus (2023). Shrinkage efficiency bounds: An extension. COMMUNICATIONS IN STATISTICS. THEORY AND METHODS [10.1080/03610926.2023.2173976].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10447/584870
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