# 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