A characterization of translation-invariant experiments admitting adaptive estimates (Q1106582): Difference between revisions
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Property / reviewed by: Arnold Janssen / rank | |||
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Latest revision as of 18:21, 18 June 2024
scientific article
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English | A characterization of translation-invariant experiments admitting adaptive estimates |
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A characterization of translation-invariant experiments admitting adaptive estimates (English)
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1988
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The paper under review completely solves the problem of adaptivity for translation invariant experiments. Recall that an estimator for a parameter t is called adaptive if it ignores a nuisance parameter u of the model without loss in efficiency compared with those procedures where u is known. It is pointed out that by definition adaptivity depends on the underlying loss function which determines the minimax risk. In contrast to the common believe, ``independence of t and u'', i.e. \(P_{t,u}=P_ t\otimes P_ u\), is not responsable for adaptivity. It is shown that the existence of independent posterior distributions is equivalent to the adaptivity property. Three types of limit experiments are discussed: local asymptotic (mixed) normal experiments, and experiments arising from densities with jumps.
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adaptive estimates
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minimax bounds
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Pitman estimates
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semi-parametric models
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translation invariant experiments
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minimax risk
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existence of independent posterior distributions
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adaptivity property
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limit experiments
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local asymptotic (mixed) normal experiments
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