Simultaneous estimation of p positive normal means with common unknown variance

Yuan-Tsung Chang and William E. Strawderman

Statistics & Probability Letters, 2017, vol. 121, issue C, 83-89

Abstract: We study estimation of several non-negative normal means under sum of squared errors loss when the common variance is unknown. In particular we consider a multivariate shrinkage version of the Katz estimator and show that it dominates the vector version of the Katz estimator which, in the known variance case, is generalized Bayes with respect to the uniform prior over the positive orthant.

Keywords: Generalized Bayes; Katz estimator; Positive normal means; Multivariate shrinkage estimators; Baranchik type estimators (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2016.10.012

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