Asymptotic variance estimation in multivariate distributions

DOI10.1016/0047-259X(91)90051-3zbMath0737.62049MaRDI QIDQ1175675

Andrew. L. Rukhin

Publication date: 25 June 1992

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

generalized Bayes estimatorgeneral loss functionasymptotic admissibilityBrewster-Zidek estimatorestimator of random quadratic polynomialsmultivariate location-scale familyquadratic polynomial in normal means

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Admissibility in statistical decision theory (62C15)

Related Items (1)

Shrinkage and modification techniques in estimation of variance and the related problems: A review

Cites Work

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• Risk behavior of variance estimators in multivariate normal distribution
• Tail minimaxity in location vector problems and its applications
• Generalized Bayes estimators in multivariate problems
• Developments in decision-theoretic variance estimation. With comments and a rejoinder by the authors
• Improving on equivariant estimators
• Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean
• Generalized Bayes Solutions in Estimation Problems
• Inadmissibility of the Usual Estimators of Scale parameters in Problems with Unknown Location and Scale Parameters
• Improved Confidence Intervals for the Variance of a Normal Distribution

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