Sankhya: The Indian Journal of Statistics
2000, Volume 62, Series A, Pt. 1, pp. 128--134
SECOND ORDER ADMISSIBILITY OF GENERALIZED BAYES ESTIMATOR UNDER JEFFREYS' PRIOR
YOSHIJI TAKAGI, Osaka Prefecture University, Sakai
SUMMARY. It is shown that a parametrization-invariant second order estimator is asymptotically equivalent to the generalized Bayes estimator under Jeffreys' prior, up to the order Op(1/n). This result suggests that Jeffreys' prior should be chosen as a desirable prior for the determination of noninformative priors by a formal rule.
AMS (1991) subject classification. 62C10, 62C15, 62F12.
Key words and phrases. Second order admissibility, parametrization invariance, Jeffreys' prior, generalized Bayes estimator.
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