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.
Publié le : 1994-12-14
Classification:
Second-order minimax estimation,
information inequalities,
Bayes risk,
62F10,
62C20
@article{1176325759,
author = {Gajek, L. and Kaluszka, M.},
title = {Lower Bounds for the Asymptotic Bayes Risk in the Scale Model (with an Application to the Second-Order Minimax Estimation)},
journal = {Ann. Statist.},
volume = {22},
number = {1},
year = {1994},
pages = { 1831-1839},
language = {en},
url = {http://dml.mathdoc.fr/item/1176325759}
}
Gajek, L.; Kaluszka, M. Lower Bounds for the Asymptotic Bayes Risk in the Scale Model (with an Application to the Second-Order Minimax Estimation). Ann. Statist., Tome 22 (1994) no. 1, pp. 1831-1839. http://gdmltest.u-ga.fr/item/1176325759/