Generalized Bayes minimax estimators of the mean of multivariate normal distribution with unknown variance

DOI10.1016/j.jmva.2008.02.016zbMath1151.62025OpenAlexW1985015382MaRDI QIDQ957306

Martin T. Wells, Gongfu Zhou

Publication date: 27 November 2008

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2008.02.016

zbMATH Keywords

weakly differentiable functionintegration by partsunknown variancemultivariate normal meanminimax estimateinvariant lossgeneralized Bayes estimate

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 (8)

A class of admissible estimators of multiple regression coefficient with an unknown variance ⋮ 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 ⋮ Generalized Bayes minimax estimators of the variance of a multivariate normal distribution ⋮ Estimation of the mean vector in a singular multivariate normal distribution ⋮ Bayes minimax estimation of the multivariate normal mean vector for the case of common unknown variance ⋮ A paradoxical argument about domination ⋮ An extended class of minimax generalized Bayes estimators of regression coefficients

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