Optimal minimax squared error risk estimation of the mean of a multivariate normal distribution

DOI10.1080/03610928608829240zbMath0618.62008OpenAlexW2022313459MaRDI QIDQ4727987

Peter J. Kempthorne

Publication date: 1986

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928608829240

zbMATH Keywords

squared error losspreliminary test estimatorsmultivariate normal distributionStein estimationzero-one lossdegenerate prior distributionsminimax squared risk estimators of the meanminimax-Bayes-compromise estimatorsmultiple-objective decision analysisspherically symmetric prior distributions

Mathematics Subject Classification ID

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

Cites Work

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• Non-Optimality of Preliminary-Test Estimators for the Mean of a Multivariate Normal Distribution
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