IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v83y2013i9p2052-2056.html
   My bibliography  Save this article

Bayes minimax estimation of the multivariate normal mean vector under quadratic loss functions

Author

Listed:
  • Zinodiny, S.
  • Rezaei, S.
  • Arjmand, O. Naghshineh
  • Nadarajah, S.

Abstract

The problem of estimating the mean vector μ of a multivariate normal distribution with the covariance matrix σ2Ip is considered under the loss function, (δ−μ)′D(δ−μ)σ2, where σ2 is unknown and D is a known positive definite diagonal matrix. A large class of Bayes minimax estimators of μ is found. This class includes classes of estimators obtained by Lin and Mousa (1982) and Zinodiny et al. (2011).

Suggested Citation

  • Zinodiny, S. & Rezaei, S. & Arjmand, O. Naghshineh & Nadarajah, S., 2013. "Bayes minimax estimation of the multivariate normal mean vector under quadratic loss functions," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 2052-2056.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:9:p:2052-2056
    DOI: 10.1016/j.spl.2013.05.021
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S016771521300182X
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spl.2013.05.021?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Zinodiny, S. & Strawderman, W.E. & Parsian, A., 2011. "Bayes minimax estimation of the multivariate normal mean vector for the case of common unknown variance," Journal of Multivariate Analysis, Elsevier, vol. 102(9), pages 1256-1262, October.
    2. Wells, Martin T. & Zhou, Gongfu, 2008. "Generalized Bayes minimax estimators of the mean of multivariate normal distribution with unknown variance," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2208-2220, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Zinodiny, S. & Rezaei, S. & Nadarajah, S., 2014. "Bayes minimax estimation of the multivariate normal mean vector under balanced loss function," Statistics & Probability Letters, Elsevier, vol. 93(C), pages 96-101.
    2. Imai, Ryo & Kubokawa, Tatsuya & Ghosh, Malay, 2019. "Bayesian simultaneous estimation for means in k-sample problems," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 49-60.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Zinodiny, S. & Rezaei, S. & Nadarajah, S., 2014. "Bayes minimax estimation of the multivariate normal mean vector under balanced loss function," Statistics & Probability Letters, Elsevier, vol. 93(C), pages 96-101.
    2. Shokofeh Zinodiny & Saralees Nadarajah, 2023. "Generalized Bayes Minimax Estimators of the Variance of a Multivariate Normal Distribution," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(2), pages 1667-1683, August.
    3. Tsukuma, Hisayuki & Kubokawa, Tatsuya, 2015. "Estimation of the mean vector in a singular multivariate normal distribution," Journal of Multivariate Analysis, Elsevier, vol. 140(C), pages 245-258.
    4. Zinodiny, S. & Strawderman, W.E. & Parsian, A., 2011. "Bayes minimax estimation of the multivariate normal mean vector for the case of common unknown variance," Journal of Multivariate Analysis, Elsevier, vol. 102(9), pages 1256-1262, October.
    5. Hisayuki Tsukuma & Tatsuya Kubokawa, 2014. "Estimation and Prediction Intervals in Transformed Linear Mixed Models," CIRJE F-Series CIRJE-F-930, CIRJE, Faculty of Economics, University of Tokyo.
    6. 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.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:83:y:2013:i:9:p:2052-2056. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.