IDEAS home Printed from
   My bibliography  Save this article

On optimal convergence rate of empirical Bayes tests


  • Liang, T.C.Ta Chen


This paper deals with the optimal convergence rate of empirical Bayes tests. A sharp lower bound on the minimax regret of empirical Bayes tests is established. When the result is applied to the normal distribution model, a lower convergence rate n-1 is obtained. We also construct an empirical Bayes test [delta]n* whose corresponding regret achieves the rate n-1, provided that [psi]G, the characteristic function of the prior distribution G, is such that [psi]G(t)=0 for t[greater-or-equal, slanted]b-1 for some b>0. Therefore, for the empirical Bayes testing for a normal mean problem, the optimal convergence rate is n-1.

Suggested Citation

  • Liang, T.C.Ta Chen, 2004. "On optimal convergence rate of empirical Bayes tests," Statistics & Probability Letters, Elsevier, vol. 68(2), pages 189-198, June.
  • Handle: RePEc:eee:stapro:v:68:y:2004:i:2:p:189-198

    Download full text from publisher

    File URL:
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:68:y:2004:i:2:p:189-198. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.