A family of minimax estimators of a multivariate normal mean

Tze Fen Li

Statistics & Probability Letters, 1983, vol. 1, issue 3, 125-128

Abstract: Let X be a p-dimensional normal random vector with unknown mean vector [theta] and covariance [sigma]2I. Let S/[sigma]2, independent of X, be chi-square with n degrees of freedom. Relative to the squared error loss, James and Stein (1961) have obtained an estimator which dominates the usual estimator X. Baranchik (1970) has extended James and Stein's results. We obtain a theorem which can provide a different family of minimax estimators containing James-Stein's estimator. Two interesting minimax estimators are presented in this paper.

Keywords: Admissible; Bayes; minimax (search for similar items in EconPapers)
Date: 1983
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