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, 53(11), 4147-4152 [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.
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efficiency-bound.pdf
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