Proper Bayes minimax estimators for a multivariate normal mean with unknown common variance under a convex loss function

zbMath0511.62012MaRDI QIDQ1838788

Pi-Erh Lin, Amany Mousa

Publication date: 1982

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

risk functionmultivariate normal meanconvex combination of loss functionsunknown common variance

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Bayesian inference (62F15) Bayesian problems; characterization of Bayes procedures (62C10) Minimax procedures in statistical decision theory (62C20)

Related Items (4)

Bayes minimax estimation of the multivariate normal mean vector under quadratic loss functions ⋮ Bayes minimax estimation of the multivariate normal mean vector under balanced loss function ⋮ Minimax estimation of independent normal means under a quadratic loss function with unknown weights ⋮ Stochastic comparisons of stratified sampling techniques for some Monte Carlo estimators

Cites Work

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• Families of minimax estimators of the mean of a multivariate normal distribution
• Minimax estimation of a normal mean vector for arbitrary quadratic loss and unknown covariance matrix
• Proper Bayes minimax estimators of the multivariate normal mean vector for the case of common unknown variances
• Generalized Bayes minimax estimators of the multivariate normal mean with unknown covariance matrix
• Minimax Adaptive Generalized Ridge Regression Estimators
• Some Concepts of Dependence

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