Article ID Journal Published Year Pages File Type
1146946 Journal of Multivariate Analysis 2008 16 Pages PDF
Abstract

Let X∼f(∥x-θ∥2) and let δπ(X) be the generalized Bayes estimator of θ with respect to a spherically symmetric prior, π(∥θ∥2), for loss ∥δ-θ∥2. We show that if π(t) is superharmonic, non-increasing, and has a non-decreasing Laplacian, then the generalized Bayes estimator is minimax and dominates the usual minimax estimator δ0(X)=X under certain conditions on . The class of priors includes priors of the form for and hence includes the fundamental harmonic prior . The class of sampling distributions includes certain variance mixtures of normals and other functions f(t) of the form e-αtβ and e-αt+βφ(t) which are not mixtures of normals. The proofs do not rely on boundness or monotonicity of the function r(t) in the representation of the Bayes estimator as .

Related Topics
Physical Sciences and Engineering Mathematics Numerical Analysis