Date of this Version
Proceedings of Penn State Conference on Multivariate Analysis
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.
Information inequality, cramer-rao inequality, truncated squared error efficiency, local asymptotic minimaxity, superefficiency
Brown, L. D. (1993). An Information Inequality for the Bayes Risk Under Truncated Squared Error Loss. Proceedings of Penn State Conference on Multivariate Analysis, Retrieved from https://repository.upenn.edu/statistics_papers/105
Date Posted: 27 November 2017