Article ID Journal Published Year Pages File Type
1146808 Journal of Multivariate Analysis 2009 9 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Mathematics Numerical Analysis
Authors
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