JOURNAL OF THE JAPAN STATISTICAL SOCIETY
Online ISSN : 1348-6365
Print ISSN : 1882-2754
ISSN-L : 1348-6365
Articles
The Vincze Inequality for the Bayes Risk
Nao Ohyauchi
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Keywords: Bayes estimator, Bayes risk, Cramér-Rao inequality, information inequality, Lagrange method, non-regular distributions
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2004 Volume 34 Issue 1 Pages 65-74

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Abstract

In this paper, the Vincze inequality for the Bayes risk of an estimator with the unbiasedness at any two specific values of the parameter is derived using the Lagrange method. The lower bound for the Bayes risk is also shown to be attained. The Cramér-Rao inequality is derived from the information inequality. Some examples on non-regular distributions are also given.

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© 2004 Japan Statistical Society
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