An Information Inequality for the Bayes Risk Under Truncated Squared Error Loss
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Information inequality
cramer-rao inequality
truncated squared error efficiency
local asymptotic minimaxity
superefficiency
Statistics and Probability
cramer-rao inequality
truncated squared error efficiency
local asymptotic minimaxity
superefficiency
Statistics and Probability
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Abstract
A bound is given for the Bayes risk of an estimator under truncated squared error loss. The bound derives from an information inequality for the risk under this loss. It is then used to provide new proofs for some classical results of asymptotic theory.
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1993
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Statistics Papers
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2023-05-17T15:29:49.000