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Generalized Bayes Minimax Estimators of the Variance of a Multivariate Normal Distribution

Author

Listed:
  • Shokofeh Zinodiny

    (Institute for Research in Fundamental Sciences)

  • Saralees Nadarajah

    (Howard University)

Abstract

The problem of estimating the variance of a multivariate normal distribution is considered under quadratic loss. A large class of generalized Bayes minimax estimators for the variance is found. This class include estimators obtained by Ghosh (1994). A simulation study shows superior performance of our estimators.

Suggested Citation

  • Shokofeh Zinodiny & Saralees Nadarajah, 2023. "Generalized Bayes Minimax Estimators of the Variance of a Multivariate Normal Distribution," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(2), pages 1667-1683, August.
    • Handle: RePEc:spr:sankha:v:85:y:2023:i:2:d:10.1007_s13171-023-00311-z
    DOI: 10.1007/s13171-023-00311-z
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    References listed on IDEAS

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    1. Wells, Martin T. & Zhou, Gongfu, 2008. "Generalized Bayes minimax estimators of the mean of multivariate normal distribution with unknown variance," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2208-2220, November.
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