Generalized Bayes Minimax Estimators of the Variance of a Multivariate Normal Distribution

Shokofeh Zinodiny () and Saralees Nadarajah ()
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Shokofeh Zinodiny: Institute for Research in Fundamental Sciences
Saralees Nadarajah: Howard University

Sankhya A: The Indian Journal of Statistics, 2023, vol. 85, issue 2, No 21, 1667-1683

Abstract: Abstract The problem of estimating the variance of a multivariate normal distribution is considered under quadratic loss. A large class of generalized Bayes minimax estimators for the variance is found. This class include estimators obtained by Ghosh (1994). A simulation study shows superior performance of our estimators.

Keywords: Generalized Bayes estimators; Quadratic loss function; Unknown variance.; Primary; 62E99 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s13171-023-00311-z

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