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Let X be an observation from a p-variate normal distribution (p ≧ 3) with mean vector θ and unknown positive definite covariance matrix Σ̸. It is desired to estimate θ under the quadratic loss L(δ,θ,Σ̸)=(δ−θ)tQ(δ−θ)/tr(QΣ̸), where Q is a known positive definite matrix. Estimators of the following form are considered: δc(X,W)=(I−cαQ−1W−1/(XtW−1X))X, where W is a p × p random matrix with a Wishart (Σ̸,n) distribution (independent of X), α is the minimum characteristic root of (QW)/( n−p−1) and c is a positive constant. For appropriate values of c,δc is shown to be minimax and better than the usual estimator δ0(X)=X.

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Autor(es)

Berger, J. -  Bock, M. E -  Brown, Lawrence D -  Casella, George -  Gleser, L. - 

Id.: 70515880

Versión: 1.0

Estado: Final

Tipo:  application/pdf - 

Palabras claveminimax - 

Tipo de recurso: Texto Narrativo  - 

Tipo de Interactividad: Expositivo

Nivel de Interactividad: muy bajo

Audiencia: Estudiante  -  Profesor  -  Autor  - 

Estructura: Atomic

Coste: no

Copyright: sí

Formatos:  application/pdf - 

Requerimientos técnicos:  Browser: Any - 

Relación: [IsBasedOn] Statistics Papers

Fecha de contribución: 28-nov-2017

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