On Optimal Solutions to Compound Statistical Decision Problems

Abstract

In a compound decision problem, consisting of $n$ statistically independent copies of the same problem to be solved under the sum of the individual losses, any reasonable compound decision rule $\delta$ satisfies a natural symmetry property, entailing that $\delta(\sigma(\boldsymbol{y})) = \sigma(\delta(\boldsymbol{y}))$ for any permutation $\sigma$. We derive the greatest lower bound on the risk of any such decision rule. The classical problem of estimating the mean of a homoscedastic normal vector is used to demonstrate the theory, but important extensions are presented as well in the context of Robbins's original ideas.