Siberian Federal University 
- Issue
- Journal of Siberian Federal University. Mathematics & Physics. 2020 13 (5)
- Authors
- Hamdaoui, Abdenour; Benkhaled, Abdelkader; Terbeche, Mekki
- Contact information
- Hamdaoui, Abdenour: Department of Mathematics University of Sciences and Technology, Mohamed Boudiaf, Oran Laboratory of Statistics and Random Modelisations (LSMA), Tlemcen Algeria; , ; Benkhaled, Abdelkader: Department of Biology Mascara University Mustapha Stambouli Laboratory of Geomatics, Ecology and Environment (LGEO2E) Mascara, Algeria; ; Terbeche, Mekki: Department of Mathematics University of Sciences and Technology, Mohamed Boudiaf, Oran Laboratory of Analysis and Application of Radiation (LAAR), USTO-MB Oran, Algeria;
- Keywords
- James-Stein estimator; loss function; multivariate gaussian random variable; non-central chi-square distribution; shrinkage estimator
- Abstract
The problem of estimating the mean of a multivariate normal distribution by different types of shrinkage estimators is investigated. We established the minimaxity of Baranchick-type estimators for identity covariance matrix and the matrix associated to the loss function is diagonal. In particular the class of James-Stein estimator is presented. The general situation for both matrices cited above is discussed
- Pages
- 608–621
- DOI
- 10.17516/1997-1397-2020-13-5-608-621
- Paper at repository of SibFU
- https://elib.sfu-kras.ru/handle/2311/135903
Journal of Siberian Federal University. Mathematics & Physics / Baranchick-type Estimators of a Multivariate Normal Mean Under the General Quadratic Loss Function
Full text (.pdf)