Minimax estimation of a multivariate normal mean under arbitrary quadratic loss

Let X be a p-variate (p >= 3) vector normally distributed with mean [theta] and known covariance matrix . It is desired to estimate [theta] under the quadratic loss ([delta] - [theta])t Q([delta] - [theta]), where Q is a known positive definite matrix. A broad class of minimax estimators for [theta] is developed.

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Year of publication:	1976
Authors:	Berger, James
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 6.1976, 2, p. 256-264
Publisher:	Elsevier
Keywords:	Multivariate normal distribution quadratic loss risk function minimax estimator

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005152762