Geodesic
Baranchick-type estimators of a multivariate normal mean under the general quadratic loss function
Žurnal Sibirskogo federalʹnogo universiteta. Matematika i fizika, Tome 13 (2020) no. 5, pp. 608-621

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The problem of estimating the mean of a multivariate normal distribution by different types of shrinkage estimators is investigated. We established the minimaxity of Baranchick-type estimators for identity covariance matrix and the matrix associated to the loss function is diagonal. In particular the class of James–Stein estimator is presented. The general situation for both matrices cited above is discussed.
Keywords: James–Stein estimator, loss function, multivariate gaussian random variable, non-central chi-square distribution, shrinkage estimator.
Mots-clés : сovariance matrix 
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     author = {Abdenour Hamdaoui and Abdelkader Benkhaled and Mekki Terbeche},
     title = {Baranchick-type estimators of a multivariate normal mean under the general quadratic loss function},
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     language = {en},
     url = {http://geodesic.mathdoc.fr/item/JSFU_2020_13_5_a8/}
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Abdenour Hamdaoui; Abdelkader Benkhaled; Mekki Terbeche. Baranchick-type estimators of a multivariate normal mean under the general quadratic loss function. Žurnal Sibirskogo federalʹnogo universiteta. Matematika i fizika, Tome 13 (2020) no. 5, pp. 608-621. http://geodesic.mathdoc.fr/item/JSFU_2020_13_5_a8/