A new class of Bayes minimax estimators of the normal mean matrix for the case of common unknown variances

作者：Zinodiny S; Rezaei S^*; Arjmand O Naghshineh; Nadarajah S

来源：Statistics, 2017, 51(5): 1082-1094.

DOI：10.1080/02331888.2017.1298598

• Bayes estimation
• Matrix-variate normal distribution
• Mean matrix
• Minimax estimation

This note considers the problem of estimating the mean matrix of a matrix-variate normal distribution with the covariance matrix when the loss function is , where is unknown. We find a large class of (proper and generalized) Bayes minimax estimators for the mean matrix. This class includes classes of estimators obtained by Tsukuma [Proper Bayes minimax estimators of the normal mean matrix with common unknown variances. J Statist Plan Inference. 2010;140:2596-2606].

• 出版日期2017