The problem of estimating the mean of a $p$-variate $(p \geqq 3)$ normal distribution is considered. It is assumed that the covariance matrix $\not\sum$ is known and that the loss function is quadratic. A class of minimax estimators is given, out of which admissible minimax estimators are developed.
Publié le : 1976-01-14
Classification:
Admissible,
minimax,
normal mean,
generalized Bayes,
quadratic loss,
62C15,
62F10,
62H99
@article{1176343356,
author = {Berger, James O.},
title = {Admissible Minimax Estimation of a Multivariate Normal Mean with Arbitrary Quadratic Loss},
journal = {Ann. Statist.},
volume = {4},
number = {1},
year = {1976},
pages = { 223-226},
language = {en},
url = {http://dml.mathdoc.fr/item/1176343356}
}
Berger, James O. Admissible Minimax Estimation of a Multivariate Normal Mean with Arbitrary Quadratic Loss. Ann. Statist., Tome 4 (1976) no. 1, pp. 223-226. http://gdmltest.u-ga.fr/item/1176343356/