On the construction of Bayes minimax estimators
Fourdrinier, Dominique ; Strawderman, William E. ; Wells, Martin T.
Ann. Statist., Tome 26 (1998) no. 3, p. 660-671 / Harvested from Project Euclid
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Bayes estimation of the mean of a multivariate normal distribution is considered under quadratic loss. We show that, when particular spherical priors are used, the superharmonicity of the square root of the marginal density provides a viable method for constructing (possibly proper) Bayes (and admissible) minimax estimators. Examples illustrate the theory; most notably it is shown that a multivariate Student-$t$ prior yields a proper Bayes minimax estimate.
Publié le : 1998-04-14
Classification:  Bayes estimate,  minimaxity,  multivariate normal mean,  proper Bayes,  quadratic loss,  superharmonic functions,  62C20,  62C15,  62C10,  62A15 
@article{1028144853,
     author = {Fourdrinier, Dominique and Strawderman, William E. and Wells, Martin T.},
     title = {On the construction of Bayes minimax estimators},
     journal = {Ann. Statist.},
     volume = {26},
     number = {3},
     year = {1998},
     pages = { 660-671},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1028144853}
}

Fourdrinier, Dominique; Strawderman, William E.; Wells, Martin T. On the construction of Bayes minimax estimators. Ann. Statist., Tome 26 (1998) no. 3, pp.  660-671. http://gdmltest.u-ga.fr/item/1028144853/