Admissibility of Elliptically Contoured Estimators of the Mean of a Multivariate Normal Distribution with Generalized Squared Error Loss.
FLORIDA STATE UNIV TALLAHASSEE DEPT OF STATISTICS
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Let X be a p-variate p or 3 random vector normally distributed with mean vector theta and unknown positive definite covariance matrix sigma. Let A be a p x p Wishart matrix with a parameters n, sigma, n or p, independent of X. The paper considers the problem of estimating theta with respect to a generalized squared error. Modified author abstract
- Statistics and Probability