Improved minimax estimation of powers of the variance of a multivariate normal distribution under the entropy loss function

Nabendu Pal and Chiahua Ling

Statistics & Probability Letters, 1995, vol. 24, issue 3, 205-211

Abstract: Consider the problem of estimating positive powers of the variance of a multivariate normal distribution. We show that Strawderman (Strawderman, 1974) type minimax estimators, which are better than the best affine equivariant estimators under the quadratic loss function, can also be derived under the entropy loss function.

Keywords: Affine; equivariance; Loss; function; Minimax; estimator; Risk; function; Uniform; domination (search for similar items in EconPapers)
Date: 1995
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