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math.ST2021
Admissibility is Bayes optimality with infinitesimals
Haosui Duanmu, Daniel M. Roy, David Schrittesser
We give an exact characterization of admissibility in statistical decision problems in terms of Bayes optimality in a so-called nonstandard extension of the original decision probl…
math.ST2016★ 7 cited
On Extended Admissible Procedures and their Nonstandard Bayes Risk
Haosui Duanmu, Daniel M. Roy
For finite parameter spaces under finite loss, every Bayes procedure derived from a prior with full support is admissible, and every admissible procedure is Bayes. This relationshi…