Shrinkage efficiency bounds: An extension

Giuseppe De Luca*, Jan R. Magnus

*Corresponding author for this work

Research output: Contribution to JournalArticleAcademicpeer-review

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Abstract

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.

Original languageEnglish
Pages (from-to)4147-4152
Number of pages6
JournalCommunications in Statistics - Theory and Methods
Volume53
Issue number11
Early online date15 Feb 2023
DOIs
Publication statusPublished - 2024

Bibliographical note

Publisher Copyright:
© 2022 Taylor & Francis Group, LLC.

Funding

Giuseppe De Luca acknowledges financial support from the MIUR PRIN PRJ-0324. The authors thank the two referees for their positive and constructive comments.

FundersFunder number
Ministero dell’Istruzione, dell’Università e della Ricerca

    Keywords

    • lower bound
    • Normal location model
    • risk
    • shrinkage estimators

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