Risk behavior of variance estimators in multivariate normal distribution

In this paper we consider the estimation problem of unknown variance of a multivariate normal vector under quadratic loss and entropy loss. The behavior of risk functions of the Brewster--Zidek estimator and the original Stein estimator is examined. Numerical studies show that an asymptotically inadmissible Stein estimator provides a larger degree of improvement than an admissible Brewster--Zidek estimator.

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Year of publication:	1992
Authors:	Rukhin, Andrew L. ; Ananda, Malwane M. A.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 13.1992, 2, p. 159-166
Publisher:	Elsevier
Keywords:	Variance estimation quadratic loss entropy loss Brewster-Zidek estimator Stein estimator confluent hypergeometric function

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005211944