Shrinkage efficiency bounds: An extension

Giuseppe De Luca () and Jan R. Magnus

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 11, 4147-4152

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.

Date: 2024
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DOI: 10.1080/03610926.2023.2173976

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