Wells, Martin T.; Zhou, Gongfu - In: Journal of Multivariate Analysis 99 (2008) 10, pp. 2208-2220
We construct a broad class of generalized Bayes minimax estimators of the mean of a multivariate normal distribution with covariance equal to [sigma]2Ip, with [sigma]2 unknown, and under the invariant loss ||[delta](X)-[theta]||2/[sigma]2. Examples that illustrate the theory are given. Most...