Minimax estimation of location parameters for certain spherically symmetric distributions

Families of minimax estimators are found for the location parameters of a p-variate distribution of the form , where G(Â·) is a known c.d.f. on (0, [infinity]), p >= 3 and the loss is sum of squared errors. The estimators are of the form (1 - ar(X'X)/E0(1/X'X)X'X)X where 0 <= a <= 2, r(X'X) is nondecreasing, and r(X'X)/X'X is nonincreasing. Generalized Bayes minimax estimators are found for certain G(Â·)'s.

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Year of publication:	1974
Authors:	Strawderman, William E.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 4.1974, 3, p. 255-264
Publisher:	Elsevier
Subject:	Minimax estimation location parameters

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

Persistent link: https://www.econbiz.de/10005160318