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Admissible minimax estimators of a mean vector of scale mixtures of multivariate normal distributions

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  • Maruyama, Yuzo

Abstract

The problem of estimating a mean vector of scale mixtures of multivariate normal distributions with the quadratic loss function is considered. For a certain class of these distributions, which includes at least multivariate-t distributions, admissible minimax estimators are given.

Suggested Citation

  • Maruyama, Yuzo, 2003. "Admissible minimax estimators of a mean vector of scale mixtures of multivariate normal distributions," Journal of Multivariate Analysis, Elsevier, vol. 84(2), pages 274-283, February.
    • Handle: RePEc:eee:jmvana:v:84:y:2003:i:2:p:274-283
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    References listed on IDEAS

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    1. Bock, M. E., 1985. "Minimax estimators that shift towards a hypersphere for location vectors of spherically symmetric distributions," Journal of Multivariate Analysis, Elsevier, vol. 17(2), pages 127-147, October.
    2. Maruyama, Yuzo, 1998. "A Unified and Broadened Class of Admissible Minimax Estimators of a Multivariate Normal Mean," Journal of Multivariate Analysis, Elsevier, vol. 64(2), pages 196-205, February.
    3. Strawderman, William E., 1974. "Minimax estimation of location parameters for certain spherically symmetric distributions," Journal of Multivariate Analysis, Elsevier, vol. 4(3), pages 255-264, September.
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    Cited by:

    1. Zinodiny, S. & Strawderman, W.E. & Parsian, A., 2011. "Bayes minimax estimation of the multivariate normal mean vector for the case of common unknown variance," Journal of Multivariate Analysis, Elsevier, vol. 102(9), pages 1256-1262, October.
    2. Fourdrinier, Dominique & Strawderman, William E., 2008. "Generalized Bayes minimax estimators of location vectors for spherically symmetric distributions," Journal of Multivariate Analysis, Elsevier, vol. 99(4), pages 735-750, April.
    3. Fourdrinier, Dominique & Kortbi, Othmane & Strawderman, William E., 2008. "Bayes minimax estimators of the mean of a scale mixture of multivariate normal distributions," Journal of Multivariate Analysis, Elsevier, vol. 99(1), pages 74-93, January.
    4. Maruyama, Yazo & Takemura, Akimichi, 2008. "Admissibility and minimaxity of generalized Bayes estimators for spherically symmetric family," Journal of Multivariate Analysis, Elsevier, vol. 99(1), pages 50-73, January.

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