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Bayes minimax estimation of the multivariate normal mean vector under quadratic loss functions

S. Zinodiny, Sedigheh Rezaei, O. Naghshineh Arjmand and S. Nadarajah

Statistics & Probability Letters, 2013, vol. 83, issue 9, 2052-2056

Abstract: The problem of estimating the mean vector μ of a multivariate normal distribution with the covariance matrix σ2Ip is considered under the loss function, (δ−μ)′D(δ−μ)σ2, where σ2 is unknown and D is a known positive definite diagonal matrix. A large class of Bayes minimax estimators of μ is found. This class includes classes of estimators obtained by Lin and Mousa (1982) and Zinodiny et al. (2011).

Keywords: Bayes estimation; Minimax estimation; Multivariate normal mean; Quadratic loss function; Unknown variance (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1016/j.spl.2013.05.021

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