On the best equivariant estimator of mean of a multivariate normal population

F. Perron and N. Giri

Journal of Multivariate Analysis, 1990, vol. 32, issue 1, 1-16

Abstract: Let X1,...,Xn (n>1, p>1) be independently and identically distributed normal p-vectors with mean [mu] and covariance matrix ([mu]'[mu]/C2)I, where the coefficient of variation C is known. The authors have obtained the best equivariant estimator of [mu] under the loss function L([mu]d)=([mu]-d)'([mu]-d/[mu]'[mu]) They have compared the best equivariant estimator with 3 other wellknown equivariant estimators of [mu] and have shown that the best equivariant estimator is markedly superior to others when C-->0.

Keywords: maximum; likelihood; estimator; natural; remanent; magnetization; equivariant; estimator; relative; efficiency (search for similar items in EconPapers)
Date: 1990
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Citations: View citations in EconPapers (2)

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