Admissible estimators of a multivariate normal mean vector when the scale is unknown

Y. Maruyama; W. E. Strawderman

doi:10.1093/biomet/asaa102

Admissible estimators of a multivariate normal mean vector when the scale is unknown

Y. Maruyama, W. E. Strawderman

School of Arts and Sciences, Statistics

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

We study admissibility of a subclass of generalized Bayes estimators of a multivariate normal vector in the case where the variance is unknown, under scaled quadratic loss. Minimaxity is established for some of these estimators.

Original language	English (US)
Pages (from-to)	997-1003
Number of pages	7
Journal	Biometrika
Volume	108
Issue number	4
DOIs	https://doi.org/10.1093/biomet/asaa102
State	Published - Dec 1 2021

All Science Journal Classification (ASJC) codes

Statistics and Probability
General Mathematics
Agricultural and Biological Sciences (miscellaneous)
General Agricultural and Biological Sciences
Statistics, Probability and Uncertainty
Applied Mathematics

Keywords

Admissibility
Bayes estimator
Minimaxity

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10.1093/biomet/asaa102

Cite this

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title = "Admissible estimators of a multivariate normal mean vector when the scale is unknown",

abstract = "We study admissibility of a subclass of generalized Bayes estimators of a multivariate normal vector in the case where the variance is unknown, under scaled quadratic loss. Minimaxity is established for some of these estimators.",

keywords = "Admissibility, Bayes estimator, Minimaxity",

author = "Y. Maruyama and Strawderman, {W. E.}",

note = "Publisher Copyright: {\textcopyright} 2020 Biometrika Trust.",

year = "2021",

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doi = "10.1093/biomet/asaa102",

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AU - Strawderman, W. E.

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N2 - We study admissibility of a subclass of generalized Bayes estimators of a multivariate normal vector in the case where the variance is unknown, under scaled quadratic loss. Minimaxity is established for some of these estimators.

AB - We study admissibility of a subclass of generalized Bayes estimators of a multivariate normal vector in the case where the variance is unknown, under scaled quadratic loss. Minimaxity is established for some of these estimators.

KW - Admissibility

KW - Bayes estimator

KW - Minimaxity

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DO - 10.1093/biomet/asaa102

M3 - Article

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EP - 1003

JO - Biometrika

JF - Biometrika

IS - 4

ER -

Admissible estimators of a multivariate normal mean vector when the scale is unknown

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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