Information inequalities for the Bayes risk (Q756309)

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Information inequalities for the Bayes risk
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    Information inequalities for the Bayes risk (English)
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    1990
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    A series of lower bounds for the Bayes risk of an estimator \({\hat \theta}\) of a real parameter \(\theta\) under loss m(\(\theta\))(\({\hat \theta}\)-\(\theta\))\({}^ 2\), \(m(\theta)>0\) is given. Five nontrivial examples illustrate the accuracy of the bounds. The results are based on a version of the information inequality without regularity conditions on the statistic under consideration. The statement and the proof of the inequality are also given.
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    Cramér-Rao inequality
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    exponential family
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    scaled quadratic loss
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    lower bounds
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    Bayes risk
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    examples
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    accuracy
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    information inequality
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