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Minimax and admissible minimax estimators of the mean of a multivariate normal distribution for unknown covariance matrix

✍ Scribed by Khursheed Alam

Publisher
Elsevier Science
Year
1975
Tongue
English
Weight
497 KB
Volume
5
Category
Article
ISSN
0047-259X

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It is well known that the best equivariant estimator of the variance covariance matrix of the multivariate normal distribution with respect to the full affine group of transformation is not even minimax. Some minimax estimators have been proposed. Here we treat this problem in the framework of a mul

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The problem of estimating the mean of a multivariate normal distribution is considered. A class of admissible minimax estimators is constructed. This class includes two well-known classes of estimators, Strawderman's and Alam's. Further, this class is much broader than theirs.