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A Unified and Broadened Class of Admissible Minimax Estimators of a Multivariate Normal Mean

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  • Maruyama, Yuzo

Abstract

The problem of estimating the mean of a multivariate normal distribution is considered. A class of admissible minimax estimators is constructed. This class includes two well-known classes of estimators, Strawderman's and Alam's. Further, this class is much broader than theirs.

Suggested Citation

  • Maruyama, Yuzo, 1998. "A Unified and Broadened Class of Admissible Minimax Estimators of a Multivariate Normal Mean," Journal of Multivariate Analysis, Elsevier, vol. 64(2), pages 196-205, February.
  • Handle: RePEc:eee:jmvana:v:64:y:1998:i:2:p:196-205
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    References listed on IDEAS

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    1. Faith, Ray E., 1978. "Minimax Bayes estimators of a multivariate normal mean," Journal of Multivariate Analysis, Elsevier, vol. 8(3), pages 372-379, September.
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    Cited by:

    1. repec:eee:jmvana:v:159:y:2017:i:c:p:138-150 is not listed on IDEAS
    2. Maruyama, Yuzo & Strawderman, William E., 2009. "An extended class of minimax generalized Bayes estimators of regression coefficients," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2155-2166, November.
    3. Peter Hall & You-Jun Yang, 2010. "Ordering and selecting components in multivariate or functional data linear prediction," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(1), pages 93-110.
    4. Maruyama, Yuzo, 2004. "Stein's idea and minimax admissible estimation of a multivariate normal mean," Journal of Multivariate Analysis, Elsevier, vol. 88(2), pages 320-334, February.
    5. Maruyama, Yuzo, 2003. "Admissible minimax estimators of a mean vector of scale mixtures of multivariate normal distributions," Journal of Multivariate Analysis, Elsevier, vol. 84(2), pages 274-283, February.
    6. Hiroyuki Kashima, 2005. "An application of a minimax Bayes rule and shrinkage estimators to the portofolio selection problem under the Bayesian approach," Statistical Papers, Springer, vol. 46(4), pages 523-540, October.
    7. Maruyama, Yazo & Takemura, Akimichi, 2008. "Admissibility and minimaxity of generalized Bayes estimators for spherically symmetric family," Journal of Multivariate Analysis, Elsevier, vol. 99(1), pages 50-73, January.

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