Bayes minimax estimator of the mean vector in an elliptically contoured distribution

Jie Jiang and Lichun Wang

Statistics & Probability Letters, 2024, vol. 213, issue C

Abstract: This paper investigates the Bayes estimator of the mean of an elliptically contoured distribution with unknown scale parameter under the quadratic loss. The Laplace transform and inverse Laplace transform of density facilitate us to obtain the expression of Bayes estimator. Then we prove the minimaxity of the Bayes estimator under certain conditions.

Keywords: Elliptically contoured distribution; Quadratic loss; Bayes estimator; Monotone likelihood ratio (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spl.2024.110186

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