Accession Number:
ADA037531
Title:
Minimax Estimation of a Multivariate Normal Mean with Unknown Covariance Matrix.
Descriptive Note:
Interim rept.,
Corporate Author:
PURDUE UNIV LAFAYETTE IND DEPT OF STATISTICS
Personal Author(s):
Report Date:
1976-07-01
Pagination or Media Count:
14.0
Abstract:
Let X be a p-variate por3 vector, normally distributed with unknown mean theta and unknown covariance matrix sigma. Let WpXp be distributed independently of X, and let W have a Wishart distribution with n degrees of freedom and parameter sigma. It is desired to estimate theta under the quadratic loss delta-thetaQdelta-theta, where Q is a known positive definite matrix. Under the condition that a lower bound for the smallest characteristic root of Q sigma is known, a family of minimax estimators is developed.
Descriptors:
Subject Categories:
- Statistics and Probability