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Improved Shrinkage Estimators for the Mean Vector of a Scale Mixture of Normals with Unknown Variance

โœ Scribed by Gina Bravo and Brenda MacGibbon

Book ID
115056471
Publisher
John Wiley and Sons
Year
1988
Tongue
French
Weight
396 KB
Volume
16
Category
Article
ISSN
0319-5724

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๐Ÿ“œ SIMILAR VOLUMES

Admissible minimax estimators of a mean
Admissible minimax estimators of a mean vector of scale mixtures of multivariate normal distributions
โœ Yuzo Maruyama ๐Ÿ“‚ Article ๐Ÿ“… 2003 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 218 KB

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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Let (X; U ) be a random vector with spherically symmetric distribution about (ร‚; 0) where dim X =dim ร‚=p and dim U =dim 0=k (for p ยฟ 3). Consider estimation of ร‚ with loss ร‚-d 2 . Fourdrinier and Strawderman (J. Multivariate Anal. 59 (1996) 109) considered two classes of James-Stein type estimators