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Bayes minimax estimation of the multivariate normal mean vector under balanced loss function

S. Zinodiny, Sedigheh Rezaei and S. Nadarajah

Statistics & Probability Letters, 2014, vol. 93, issue C, 96-101

Abstract: We investigate the problem of simultaneous estimation of multivariate normal mean vector using Zellner (1994)’s balance loss function when common variance σ2 is unknown. We first find a class of minimax estimators for this problem which extends a class given by Chung et al. (1999). This result is then used to obtain a large class of Bayes minimax estimators for mean vector.

Keywords: Balanced loss function; Bayes estimation; Minimax estimation; Multivariate normal mean; Unknown variance (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spl.2014.06.022

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