Monotone empirical Bayes test for a truncation parameter distribution using Linex loss
by
TaChen Liang
Vol. 1 No. 3 (2006) P.397~P.411
ABSTRACT
This paper deals with a monotone empirical Bayes test $\delta^*_n$ for a truncation parameter distribution using the linex loss. The asymptotic optimality of $\delta^*_n$ is investigated. Under very mild conditions, it is shown that $\delta^*_n$ is asymptotically optimal with a rate of order $n^{-2/3}$. This rate improves the empirical Bayes test $\delta_n^{X\ S}$ of Xu and Shi (2004) in the sense that faster convergence rate is
achieved under conditions relatively weaker than that assumed in Xu and Shi (2004).
KEYWORDS
Asymptotic optimality, Bayes risk, linex loss, rate of convergence, regret
MATHEMATICAL SUBJECT CLASSIFICATION 2010
Primary: 62C12
MILESTONES
Received: 2004-12-23
Revised : 2005-06-21
Accepted:
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