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An improved empirical Bayes test for positive exponential families

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  • Tachen Liang

Abstract

We exhibit an empirical Bayes test δ*n for a decision problem using a linear error loss in a class of positive exponential families. This empirical Bayes test δ*n possesses the asymptotic optimality, and its associated regret converges to zero with rate n−1(ln n)6 This rate of convergence improves the previous results in the literature in the sense that a faster rate of convergence is achieved under much weaker conditions. Examples are presented to illustrate the performance of the empirical Bayes test δ*n

Suggested Citation

  • Tachen Liang, 2002. "An improved empirical Bayes test for positive exponential families," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 56(3), pages 346-361, August.
    • Handle: RePEc:bla:stanee:v:56:y:2002:i:3:p:346-361
    DOI: 10.1111/1467-9574.t01-1-00070
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    Cited by:

    1. TaChen Liang, 2009. "Empirical Bayes estimation of coefficient of variation in shifted exponential distributions," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 21(3), pages 365-378.

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