Admissibility and minimaxity of generalized Bayes estimators for spherically symmetric family

Details Admissibility and minimaxity of generalized Bayes estimators for spherically symmetric family Admissibility and minimaxity of generalized Bayes estimators for spherically symmetric family

2006-04-19

arxiv.org/abs/math/0604417v1

Journal of Multivariate Analysis, 99 (2008), 50-73

Mathematics

Statistics Theory

25pages

Scientific paper

10.1016/j.jmva.2007.01.002

We give a sufficient condition for admissibility of generalized Bayes estimators of the location vector of spherically symmetric distribution under squared error loss. Compared to the known results for the multivariate normal case, our sufficient condition is very tight and is close to being a necessary condition. In particular we establish the admissibility of generalized Bayes estimators with respect to the harmonic prior and priors with slightly heavier tail than the harmonic prior. We use the theory of regularly varying functions to construct a sequence of smooth proper priors approaching an improper prior fast enough for establishing the admissibility. We also discuss conditions of minimaxity of the generalized Bayes estimator with respect to the harmonic prior.

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