An asymptotic lower bound for the local minimax regret in sequential point estimation

DOI10.1214/aos/1176347273zbMath0681.62065OpenAlexW2076402813MaRDI QIDQ1823592

Mohamed Tahir

Publication date: 1989

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176347273

zbMATH Keywords

martingale convergence theoremprior distributionBayes riskasymptotic lower boundone-parameter exponential familygeneral class of estimatorsBayes regretgeneral smooth loss functionlocal minimax regret

Mathematics Subject Classification ID

Minimax procedures in statistical decision theory (62C20) Sequential estimation (62L12)

Related Items

Sequential estimation of the mean of an exponential family in three stages ⋮ On the sequential point estimation of the mean of a gamma distribution ⋮ On the asymptotic regret of a sequential procedure for estimating the mean of a normal distribution ⋮ Bias reduction and negative regret in sequential point extimation ⋮ Second order asymptotic optimality in sequential point estimation