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Asymptotically optimal and admissible empirical Bayes estimation of normal parameter. (English) Zbl 1167.62339

Summary: Under square loss, this paper constructs an empirical Bayes(EB) estimator for the parameter of a normal distribution which is both asypmptotically optimal and admissible. Moreover, the convergence rate of the EB estimator obtained is proved to be \(O(n^{-1})\).

MSC:

62C12 Empirical decision procedures; empirical Bayes procedures
62C15 Admissibility in statistical decision theory