An extension of Strawderman's results yields minimax admissible estimates for the mean of a $p$-variate normal distribution where the known nonsingular covariance matrix is not necessarily the identity and $p > 2$. Minimax estimators for the case where the covariance matrix is unknown are also given.
Publié le : 1975-01-14
Classification:
Minimax,
spherically symmetric,
point estimation,
admissible
@article{1176343009,
author = {Bock, M. E.},
title = {Minimax Estimators of the Mean of a Multivariate Normal Distribution},
journal = {Ann. Statist.},
volume = {3},
number = {1},
year = {1975},
pages = { 209-218},
language = {en},
url = {http://dml.mathdoc.fr/item/1176343009}
}
Bock, M. E. Minimax Estimators of the Mean of a Multivariate Normal Distribution. Ann. Statist., Tome 3 (1975) no. 1, pp. 209-218. http://gdmltest.u-ga.fr/item/1176343009/