6533b854fe1ef96bd12aec09
RESEARCH PRODUCT
Shrinkage efficiency bounds: An extension
Jan R. MagnusGiuseppe De Lucasubject
RiskStatistics and ProbabilityLower boundSettore SECS-P/05 - EconometriaShrinkage estimatorNormal location modeldescription
Hansen (2005) obtained the efficiency bound (the lowest achievable risk) in the p-dimensional normal location model when p≥3, generalizing an earlier result of Magnus (2002) for the one-dimensional case (p=1). The classes of estimators considered are, however, different in the two cases. We provide an alternative bound to Hansen's which is a more natural generalization of the one-dimensional case, and we compare the classes and the bounds.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2023-02-15 | Communications in Statistics - Theory and Methods |