Minimax estimation of a bounded normal mean vector

J. Calvin Berry

Journal of Multivariate Analysis, 1990, vol. 35, issue 1, 130-139

Abstract: The problem of minimax estimation of a multivariate normal mean vector has received much attention in recent years. In this paper this problem is considered when the mean vector is restricted to a compact convex subset B of Rp. The cases of rectangular and spherical bounds are considered. The least favorable prior distributions and Bayes minimax estimator of the mean vector are obtained for the situation where B is a sphere of sufficiently small radius.

Keywords: minimax; multivariate; normal; mean; least; favorable; prior (search for similar items in EconPapers)
Date: 1990
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Citations: View citations in EconPapers (5)

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