A family of minimax estimators of a multivariate normal mean |
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Authors: | Tze Fen Li |
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Institution: | Department of Mathematics, University of North Carolina at Charlotte, Charlotte, NC 28223, U.S.A. |
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Abstract: | Let X be a p-dimensional normal random vector with unknown mean vector θ and covariance σ2I. Let S/σ2, independent of X, be chi-square with n degrees of freedom. Relative to the squared error loss, James and Stein (1961) have obtained an estimator which dominates the usual estimator X. Baranchik (1970) has extended James and Stein's results. We obtain a theorem which can provide a different family of minimax estimators containing James-Stein's estimator. Two interesting minimax estimators are presented in this paper. |
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Keywords: | Admissible Bayes minimax |
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