Improved minimax estimation of powers of the variance of a multivariate normal distribution under the entropy loss function

Consider the problem of estimating positive powers of the variance of a multivariate normal distribution. We show that Strawderman (Strawderman, 1974) type minimax estimators, which are better than the best affine equivariant estimators under the quadratic loss function, can also be derived under the entropy loss function.

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Year of publication:	1995
Authors:	Pal, Nabendu ; Ling, Chiahua
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 24.1995, 3, p. 205-211
Publisher:	Elsevier
Keywords:	Affine equivariance Loss function Minimax estimator Risk function Uniform domination

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005224027