An information inequality for the Bayes risk. (English) Zbl 0867.62014

Sato, Michikazu; Akahira, Masafumi

Ann. Stat. 24, No. 5, 2288-2295 (1996).

Summary: This paper presents a lower bound, derived from the information inequality for the Bayes risk with respect to truncated priors under quadratic loss. It is discussed in cases where the regularity condition of L. D. Brown and L. Gajek [ibid. 18, No. 4, 1578-1594 (1990; Zbl 0722.62003)] is not always satisfied. A related result for the minimax risk is also given.

MSC:

62F15	Bayesian inference
62F10	Point estimation
62C10	Bayesian problems; characterization of Bayes procedures

Keywords:

Cramer-Rao inequality; lower bound; information inequality; Bayes risk; truncated priors; quadratic loss; minimax risk

Citations:

Zbl 0722.62003