Bayes minimax estimation of the multivariate normal mean vector under balanced loss function

被引：5

作者：

Zinodiny, S. ^{[1
]}

Rezaei, S. ^{[1
]}

Nadarajah, S. ^{[2
]}

机构：

[1] Amirkabir Univ Technol, Dept Stat, Tehran, Iran

[2] Univ Manchester, Sch Math, Manchester, Lancs, England

来源：

STATISTICS & PROBABILITY LETTERS | 2014年 / 93卷

关键词：

Balanced loss function; Bayes estimation; Minimax estimation; Multivariate normal mean; Unknown variance; REGRESSION COEFFICIENT; LINEAR ESTIMATORS; PHI ADMISSIBILITY; UNKNOWN-VARIANCE; MODEL;

D O I：

10.1016/j.spl.2014.06.022

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We investigate the problem of simultaneous estimation of multivariate normal mean vector using Zellner (1994)'s balance loss function when common variance sigma(2) is unknown. We first find a class of minimax estimators for this problem which extends a class given by Chung et al. (1999). This result is then used to obtain a large class of Bayes minimax estimators for mean vector. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：96 / 101

页数：6

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