Information Inequalities for the Bayes Risk

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Statistics Papers
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information inequality (Cramer-Rao inequality)
Bayes risk
exponential family
Statistics and Probability
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Brown, Lawrence D
Gajek, Leslaw
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This paper presents lower bounds, derived from the information inequality, for the Bayes risk under scaled quadratic loss. Some numerical results are also presented which give some idea concerning the precision of these bounds. An appendix contains a proof of the information inequality without conditions on the estimator. This result is a direct extension of an earlier result of Fabian and Hannan.

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1990
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The Annals of Statistics
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