Asymptotic optimality of Bayes compound estimators in compact exponential families

DOI10.1214/AOS/1176347987MaRDI QIDQ1175409zbMATH OpenOpenAlexFDO

Authors Somnath Datta

Publication date 25 June 1992

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176347987

zbMATH Keywords

asymptotic optimality of Bayes compound estimatorscompact exponential familiescompact parameter spaceinfinite state casemixing hyperpriormixture of i.i.d. priorsnonexponentialsufficient conditionsweighted squared error loss

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Compound decision problems in statistical decision theory (62C25)

Review text

Some sufficient conditions for asymptotic optimality of Bayes compound estimators in compact exponential families are given. This result is generalized to weighted squared error loss. Applications to some nonexponential situations are considered.

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Cited in

(12)

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• Bayes compound and empirical Bayes estimation of the mean of a Gaussian distribution on a Hilbert space
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• Empirical Bayes detection of a change in distribution
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• Asymptotically optimal and admissible decision rules in compound compact Gaussian shift experiments
• Uniform \(L_{1}\) posterior consistency in compact Gaussian shift experiments
• Asymptotic efficiency of simple decisions for the compound decision problem
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• On equivariance and the compound decision problem
• A conversation with James Hannan

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