Estimation of the Mean of a Multivariate Normal Distribution
نویسندگان
چکیده
منابع مشابه
Estimation of the Multivariate Normal Mean under the Extended Reflected Normal Loss Function
متن کامل
Estimation of the mean vector in a singular multivariate normal distribution
This paper addresses the problem of estimating the mean vector of a singular multivariate normal distribution with an unknown singular covariance matrix. The maximum likelihood estimator is shown to be minimax relative to a quadratic loss weighted by the Moore-Penrose inverse of the covariance matrix. An unbiased risk estimator relative to the weighted quadratic loss is provided for a Baranchik...
متن کاملestimation of the multivariate normal mean under the extended reflected normal loss function
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Improved minimax estimation of a multivariate normal mean under heteroscedasticity
Consider the problem of estimating a multivariate normal mean with a known variance matrix, which is not necessarily proportional to the identity matrix. The coordinates are shrunk directly in proportion to their variances in Efron and Morris’ (J. Amer. Statist. Assoc. 68 (1973) 117–130) empirical Bayes approach, whereas inversely in proportion to their variances in Berger’s (Ann. Statist. 4 (1...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 1981
ISSN: 0090-5364
DOI: 10.1214/aos/1176345632