An improved empirical Bayes test for positive exponential families

Tachen Liang

Statistica Neerlandica, 2002, vol. 56, issue 3, 346-361

Abstract: We exhibit an empirical Bayes test δ*n for a decision problem using a linear error loss in a class of positive exponential families. This empirical Bayes test δ*n possesses the asymptotic optimality, and its associated regret converges to zero with rate n−1(ln n)6 This rate of convergence improves the previous results in the literature in the sense that a faster rate of convergence is achieved under much weaker conditions. Examples are presented to illustrate the performance of the empirical Bayes test δ*n

Date: 2002
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