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.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE