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Estimation of a common multivariate normal mean vector

โœ Scribed by K. Krishnamoorthy

Publisher
Springer Japan
Year
1991
Tongue
English
Weight
470 KB
Volume
43
Category
Article
ISSN
0020-3157

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โœฆ Synopsis

Let X1,..., XN be independent observations from Np(#, ~1) and Y1,..., YN be independent observations from Np(#, ~2). Assume that Xi's and Y~'s are independent. An unbiased estimator of/z which dominates the sample mean X for p _> 1 under the loss function L(/z,/2) --(f~ -#)'~i-l(fL -/~) is suggested. The exact risk (under L) of the new estimator is also evaluated.

๐Ÿ“œ SIMILAR VOLUMES

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The problem of estimating a mean vector of scale mixtures of multivariate normal distributions with the quadratic loss function is considered. For a certain class of these distributions, which includes at least multivariate-t distributions, admissible minimax estimators are given.

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