Generalized Bayes Minimax Estimators of the Variance of a Multivariate Normal Distribution

被引：0

作者：

Shokofeh Zinodiny

Saralees Nadarajah

机构：

[1] Institute for Research in Fundamental Sciences,

[2] Howard University,undefined

来源：

Sankhya A | 2023年 / 85卷

关键词：

Generalized Bayes estimators; Quadratic loss function; Unknown variance.; Primary 62E99;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

The problem of estimating the variance of a multivariate normal distribution is considered under quadratic loss. A large class of generalized Bayes minimax estimators for the variance is found. This class include estimators obtained by Ghosh (1994). A simulation study shows superior performance of our estimators.

引用

页码：1667 / 1683

页数：16

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[1] Generalized Bayes Minimax Estimators of the Variance of a Multivariate Normal Distribution
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[J]. SANKHYA-SERIES A-MATHEMATICAL STATISTICS AND PROBABILITY, 2023, 85 (02): : 1667 - 1683
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