Simultaneous estimation of independent normal mean vectors with unknown covariance matrices

DOI10.1006/JMVA.1993.1086zbMath0789.62041OpenAlexW2048060418MaRDI QIDQ1321989

V. Pereyra

Publication date: 13 June 1994

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

Full work available at URL: https://doi.org/10.1006/jmva.1993.1086

zbMATH Keywords

James-Stein estimatormultivariate normal populationsminimax estimatorsdifferent dimensionsmaximum eigenvaluesimultaneous estimationrisk functionmean vectorsWishartindependent samplessum of arbitrary quadratic lossessum of usual quadratic losses

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Bayesian inference (62F15) Minimax procedures in statistical decision theory (62C20)

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