Minimax Estimators of the Mean of a Multivariate Normal Distribution
The Annals of Statistics · 1975 · Volume 3 · Issue 1
Abstract
An extension of Strawderman's results yields minimax admissible estimates for the mean of a $p$-variate normal distribution where the known nonsingular covariance matrix is not necessarily the identity and $p > 2$. Minimax estimators for the case where the covariance matrix is unknown are also given.
Keywords
admissible, minimax, point estimation, spherically symmetric
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