Asymptotic efficiency of simple decisions for the compound decision problem

zbMATH Open1271.62022arXiv0802.1319MaRDI QIDQ2845930FDOQ2845930

Authors: Eitan Greenshtein, Yaacov Ritov 

Publication date: 3 September 2013

Abstract: We consider the compound decision problem of estimating a vector of $n$ parameters, known up to a permutation, corresponding to $n$ independent observations, and discuss the difference between two symmetric classes of estimators. The first and larger class is restricted to the set of all permutation invariant estimators. The second class is restricted further to simple symmetric procedures. That is, estimators such that each parameter is estimated by a function of the corresponding observation alone. We show that under mild conditions, the minimal total squared error risks over these two classes are asymptotically equivalent up to essentially O(1) difference.

Full work available at URL: https://arxiv.org/abs/0802.1319

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zbMATH Keywords

permutation-invariant rulessimple decision rules

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Compound decision problems in statistical decision theory (62C25)

Cited In (9)

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• A Regression Modeling Approach to Structured Shrinkage Estimation
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