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

sufficient conditionsweighted squared error lossasymptotic optimality of Bayes compound estimatorscompact exponential familiescompact parameter spaceinfinite state casemixing hyperpriormixture of i.i.d. priorsnonexponential

Mathematics Subject Classification ID

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

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Cited in

(12)

• Uniform \(L_{1}\) posterior consistency in compact Gaussian shift experiments
• On equivariance and the compound decision problem
• Asymptotic optimality of the Bayes estimator on differentiable in quadratic mean models
• Compound estimation of a monotone sequence.
• Asymptotic efficiency of simple decisions for the compound decision problem
• Compound decision theory and empirical Bayes methods
• scientific article; zbMATH DE number 3919529 (Why is no real title available?)
• Bayes compound and empirical Bayes estimation of the mean of a Gaussian distribution on a Hilbert space
• Asymptotically optimal and admissible decision rules in compound compact Gaussian shift experiments
• A conversation with James Hannan
• Bounds for robust maximum likelihood and posterior consistency in compound mixture state experiments
• Empirical Bayes detection of a change in distribution

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