Minimax Bayes estimators of a multivariate normal mean

Ray E. Faith

Journal of Multivariate Analysis, 1978, vol. 8, issue 3, 372-379

Abstract: In three or more dimensions it is well known that the usual point estimator for the mean of a multivariate normal distribution is minimax but not admissible with respect to squared Euclidean distance loss. This paper gives sufficient conditions on the prior distribution under which the Bayes estimator has strictly lower risk than the usual estimator. Examples are given for which the posterior density is useful in the formation of confidence sets.

Keywords: Admissibility; minimaxity; multivariate; normal; mean; choice; of; priors (search for similar items in EconPapers)
Date: 1978
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Citations: View citations in EconPapers (6)

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