Generalized Bayes minimax estimators of the mean of multivariate normal distribution with unknown variance

Martin T. Wells and Gongfu Zhou

Journal of Multivariate Analysis, 2008, vol. 99, issue 10, 2208-2220

Abstract: We construct a broad class of generalized Bayes minimax estimators of the mean of a multivariate normal distribution with covariance equal to [sigma]2Ip, with [sigma]2 unknown, and under the invariant loss ||[delta](X)-[theta]||2/[sigma]2. Examples that illustrate the theory are given. Most notably it is shown that a hierarchical version of the multivariate Student-t prior yields a Bayes minimax estimate.

Keywords: primary; 62C20; 62C15; 62C10 secondary; 62A15 Generalized Bayes estimate Integration by parts Minimax estimate Multivariate normal mean Invariant loss Unknown variance Weakly differentiable function (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (8)

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