Minimax estimators in the manova model for arbitrary quadratic loss and unknown covariance matrix

This paper considers the problem of estimating of the coefficient matrix B(p - m) in a normal multivariate regression model under the risk matrix , where Q is a known p.d. matrix, and proposes Gleser type estimators which improve on the usual estimator X.

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Year of publication:	1991
Authors:	Honda, Toshio
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 36.1991, 1, p. 113-120
Publisher:	Elsevier
Keywords:	Stein type estimator MANOVA model Gleser's method Stein's identity Haff's identity unbiased estimators of the risk matrix difference Gleser type estimator

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

Persistent link: https://www.econbiz.de/10005006496