A family of dominating minimax estimators of a multivariate normal mean

Let X have a p-variate normal distribution with mean vector θ and identity covariance matrix I. In the squared error estimation of θ, 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 δ 1 in...

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Bibliographic Details
Published inStatistics & probability letters Vol. 2; no. 4; pp. 215 - 217
Main Author Li, Tze Fen
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier B.V 01.01.1984
Elsevier
SeriesStatistics & Probability Letters
Subjects
admissible
admissible Bayes minimax
Bayes
Exact sciences and technology
Mathematics
minimax
Parametric inference
Probability and statistics
Sciences and techniques of general use
Statistics
admissible
minimax
Bayes
Bayes estimation
Normal variable
Multivariate analysis
Mean estimation
Minimax method
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Summary:Let X have a p-variate normal distribution with mean vector θ and identity covariance matrix I. In the squared error estimation of θ, 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 δ 1 in G not in C, there exists an estimator δ 2 in C which which dominates δ 1.
ISSN:0167-7152
1879-2103
DOI:10.1016/0167-7152(84)90018-X