A Family of Admissible Minimax Estimators of the Mean of a Multivariate Normal Distribution
Alam, Khursheed
Ann. Statist., Tome 1 (1973) no. 2, p. 517-525 / Harvested from Project Euclid
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Let the $p$-component vector $X$ be normally distributed with mean $\xi$ and covariance $\sigma^2I$ where $I$ denotes the identity matrix and $\sigma$ is known. For estimating $\xi$ with quadratic loss, it is known that $X$ is minimax but inadmissible for $p \geqq 3$. We obtain a family of estimators which dominate $X$ and are admissible. These estimators are, therefore, both minimax and admissible.
Publié le : 1973-05-14
Classification:  
@article{1176342417,
     author = {Alam, Khursheed},
     title = {A Family of Admissible Minimax Estimators of the Mean of a Multivariate Normal Distribution},
     journal = {Ann. Statist.},
     volume = {1},
     number = {2},
     year = {1973},
     pages = { 517-525},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176342417}
}

Alam, Khursheed. A Family of Admissible Minimax Estimators of the Mean of a Multivariate Normal Distribution. Ann. Statist., Tome 1 (1973) no. 2, pp.  517-525. http://gdmltest.u-ga.fr/item/1176342417/