Minimax Estimation of a Normal Mean Vector for Arbitrary Quadratic Loss and Unknown Covariance Matrix
Berger, J. ; Bock, M. E. ; Brown, L. D. ; Casella, G. ; Gleser, L.
Ann. Statist., Tome 5 (1977) no. 1, p. 763-771 / Harvested from Project Euclid
Let $X$ be an observation from a $p$-variate normal distribution $(p \geqq 3)$ with mean vector $\theta$ and unknown positive definite covariance matrix $\not\Sigma$. It is desired to estimate $\theta$ under the quadratic loss $L(\delta, \theta, \not\Sigma) = (\delta - \theta)^tQ(\delta - \theta)/\operatorname{tr} (Q\not\Sigma)$, where $Q$ is a known positive definite matrix. Estimators of the following form are considered: $\delta^c(X, W) = (I - c\alpha Q^{-1}W^{-1}/(X^tW^{-1}X))X,$ where $W$ is a $p \times p$ random matrix with a Wishart $(\not\Sigma, n)$ distribution (independent of $X$), $\alpha$ is the minimum characteristic root of $(QW)/(n - p - 1)$ and $c$ is a positive constant. For appropriate values of $c, \delta^c$ is shown to be minimax and better than the usual estimator $\delta^0(X) = X$.
Publié le : 1977-07-14
Classification:  Minimax,  normal,  mean,  quadratic loss,  unknown covariance matrix,  Wishart,  risk function,  62C99,  62F10,  62H99
@article{1176343898,
     author = {Berger, J. and Bock, M. E. and Brown, L. D. and Casella, G. and Gleser, L.},
     title = {Minimax Estimation of a Normal Mean Vector for Arbitrary Quadratic Loss and Unknown Covariance Matrix},
     journal = {Ann. Statist.},
     volume = {5},
     number = {1},
     year = {1977},
     pages = { 763-771},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176343898}
}
Berger, J.; Bock, M. E.; Brown, L. D.; Casella, G.; Gleser, L. Minimax Estimation of a Normal Mean Vector for Arbitrary Quadratic Loss and Unknown Covariance Matrix. Ann. Statist., Tome 5 (1977) no. 1, pp.  763-771. http://gdmltest.u-ga.fr/item/1176343898/