A family of dominating minimax estimators of a multivariate normal mean

Tze Fen Li

Statistics & Probability Letters, 1984, vol. 2, issue 4, 215-217

Abstract: Let X have a p-variate normal distribution with mean vector [theta] and identity covariance matrix I. In the squared error estimation of [theta], Baranchik (1970) gives a wide family G of minimax estimators. In this paper, a subfamily C of dominating estimators in G is found such that for each estimator [delta]1 in G not in C, there exists an estimator [delta]2 in C which which dominates [delta]1.

Keywords: admissible; Bayes; minimax (search for similar items in EconPapers)
Date: 1984
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