A review of Brown 1971 (in)admissibility results under scale mixtures of Gaussian priors

DOI10.1016/J.JSPI.2022.06.005MaRDI QIDQ2676892zbMATH OpenOpenAlexWikidataFDO

Authors Yuzo Maruyama, William E. Strawderman

Publication date 28 September 2022

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2110.01945

zbMATH Keywords

admissibilityBayes

Mathematics Subject Classification ID

Admissibility in statistical decision theory (62C15)

Abstract: Brown's 1971 paper "Admissible estimators, recurrent diffusions and insoluble boundary value problems" is a landmark in the admissibility literature. It nearly completely settles the issue of admissibility/inadmissibility for estimating the mean of a multivariate normal distribution with identity covariance under sum of squared error loss. We revisit this wonderful tour de force on its 50th anniversary and present an alternative and more direct proof of the result for generalized Bayes estimators corresponding to priors which are a subclass of scale mixtures of spherical normals.

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Cites work

• Admissibility and minimaxity of generalized Bayes estimators for spherically symmetric family
• Admissible Estimators, Recurrent Diffusions, and Insoluble Boundary Value Problems
• Admissible minimax estimation of a multivariate normal mean with arbitrary quadratic loss
• All estimates with a given risk, Riccati differential equations and a new proof of a theorem of Brown
• An admissibility proof using an adaptive sequence of smoother proper priors approaching the target improper prior
• scientific article; zbMATH DE number 3938231 (Why is no real title available?)
• scientific article; zbMATH DE number 3557007 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Minimax Bayes estimators of a multivariate normal mean
• On Minimax Statistical Decision Procedures and their Admissibility
• On the construction of Bayes minimax estimators
• Proper Bayes Minimax Estimators of the Multivariate Normal Mean

Cited in

(3)

• Larry Brown's contributions to parametric inference, decision theory and foundations: a survey
• Larry Brown's work on admissibility
• A conversation with Larry Brown

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