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Shrinkage efficiency bounds: An extension

Author

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  • Giuseppe De Luca
  • Jan R. Magnus

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.

Suggested Citation

  • Giuseppe De Luca & Jan R. Magnus, 2024. "Shrinkage efficiency bounds: An extension," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 53(11), pages 4147-4152, June.
    • Handle: RePEc:taf:lstaxx:v:53:y:2024:i:11:p:4147-4152
    DOI: 10.1080/03610926.2023.2173976
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