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 |