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Asymptotic optimality of the generalized bayes estimator in multiparameter cases

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Abstract

The higher order asymptotic efficiency of the generalized Bayes estimator is discussed in multiparameter cases.

For all symmetric loss functions, the generalized Bayes estimator is second order asymptotically efficient in the classA 2 of the all second order asymptotically median unbiased (AMU) estimators and third order asymptotically efficient in the restricted classD of estimators.

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Authors and Affiliations

  1. University of Tokyo, University of Electro-Communications, Tokyo, Japan

    Kei Takeuchi & Masafumi Akahira

Authors
  1. Kei Takeuchi
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  2. Masafumi Akahira
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Takeuchi, K., Akahira, M. Asymptotic optimality of the generalized bayes estimator in multiparameter cases. Ann Inst Stat Math 31, 403–415 (1979). https://doi.org/10.1007/BF02480297

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  • DOI: https://doi.org/10.1007/BF02480297

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