Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1146808 | Journal of Multivariate Analysis | 2009 | 9 Pages |
Abstract
This paper addresses the problem of estimating the normal mean matrix in the case of unknown covariance matrix. This problem is solved by considering generalized Bayesian hierarchical models. The resulting generalized Bayes estimators with respect to an invariant quadratic loss function are shown to be matricial shrinkage equivariant estimators and the conditions for their minimaxity are given.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Hisayuki Tsukuma,