A New Class of Bayes Minimax Estimators of the Mean Matrix of a Matrix Variate Normal Distribution

Shokofeh Zinodiny and Saralees Nadarajah ()
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Shokofeh Zinodiny: Department of Mathematics, Amirkabir University of Technology, Tehran 15916-34311, Iran
Saralees Nadarajah: Department of Mathematics, University of Manchester, Manchester M13 9PL, UK

Mathematics, 2024, vol. 12, issue 7, 1-14

Abstract: Bayes minimax estimation is important because it provides a robust approach to statistical estimation that considers the worst-case scenario while incorporating prior knowledge. In this paper, Bayes minimax estimation of the mean matrix of a matrix variate normal distribution is considered under the quadratic loss function. A large class of (proper and generalized) Bayes minimax estimators of the mean matrix is presented. Two examples are given to illustrate the class of estimators, showing, among other things, that the class includes classes of estimators presented by Tsukuma.

Keywords: Bayes estimation; matrix variate normal distribution; mean matrix; minimax estimation (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2024
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