๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Stein's idea and minimax admissible estimation of a multivariate normal mean

โœ Scribed by Yuzo Maruyama

Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
199 KB
Volume
88
Category
Article
ISSN
0047-259X

No coin nor oath required. For personal study only.

โœฆ Synopsis

We consider estimation of a multivariate normal mean vector under sum of squared error loss.We propose a new class of minimax admissible estimator which are generalized Bayes with respect to a prior distribution which is a mixture of a point prior at the origin and a continuous hierarchical type prior. We also study conditions under which these generalized Bayes minimax estimators improve on the James-Stein estimator and on the positive-part James-Stein estimator.

๐Ÿ“œ SIMILAR VOLUMES

A Unified and Broadened Class of Admissi
A Unified and Broadened Class of Admissible Minimax Estimators of a Multivariate Normal Mean
โœ Yuzo Maruyama ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 183 KB

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.

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.