Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1146600 | Journal of Multivariate Analysis | 2011 | 7 Pages |
Abstract
We investigate the problem of estimating the mean vector θθ of a multivariate normal distribution with covariance matrix σ2Ipσ2Ip, when σ2σ2 is unknown, and where the loss function is ‖δ−θ‖2σ2. We find a large class of (proper and generalized) Bayes minimax estimators of θθ, and show that the result of Strawderman (1973) [8] is a special case of our result. Since a large subclass of the estimators found are proper Bayes, and therefore admissible, the class of admissible minimax estimators is substantially enlarged as well.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
S. Zinodiny, W.E. Strawderman, A. Parsian,