A Necessary Condition for Admissibility

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Statistics Papers
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admissibility
generalized Bayes procedures
Statistics and Probability
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Brown, Lawrence D
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The main theorem of this note is required in a paper of Brown. Briefly, the theorem shows that procedures which can be improved on in a neighborhood of infinity are either inadmissible or are generalized Bayes for a (possibly improper) prior whose rate of growth at infinity is of an appropriate order. This theorem is applied here to show that the risk of the usual estimator of a two dimensional normal mean, θ, cannot be improved on near ∞ at order ∥θ∥−2.

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1980
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The Annals of Statistics
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