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Bayes minimax estimator of the mean vector in an elliptically contoured distribution

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  • Jiang, Jie
  • Wang, Lichun

Abstract

This paper investigates the Bayes estimator of the mean of an elliptically contoured distribution with unknown scale parameter under the quadratic loss. The Laplace transform and inverse Laplace transform of density facilitate us to obtain the expression of Bayes estimator. Then we prove the minimaxity of the Bayes estimator under certain conditions.

Suggested Citation

  • Jiang, Jie & Wang, Lichun, 2024. "Bayes minimax estimator of the mean vector in an elliptically contoured distribution," Statistics & Probability Letters, Elsevier, vol. 213(C).
    • Handle: RePEc:eee:stapro:v:213:y:2024:i:c:s016771522400155x
    DOI: 10.1016/j.spl.2024.110186
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