A new class of minimax generalized Bayes estimators of a normal variance

A new class of minimax generalized Bayes estimators of the variance of a normal distribution is given under both quadratic and entropy losses. One contribution of the paper is a new class of minimax generalized Bayes estimators of a particularly simple form. Another contribution is a class of minimax generalized Bayes procedures satisfying a Strawderman [1974. Minimax estimation of powers of the variance of a normal population under squared error loss. Ann. Statist. 2, 190-198]-type condition which do not satisfy a Brewster and Zidek [1974. Improving on equivariant estimators. Ann. Statist. 2, 21-38]-type condition. We indicate that the new class may have a noticeably larger region of substantial improvement over the usual estimator than Brewster and Zidek-type procedures. (c) 2005 Elsevier B.V. All rights reserved.