Generalized Bayes Estimators with Closed forms for the Normal Mean and Covariance Matrices
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Publication:6375136
DOI10.1016/J.JSPI.2022.06.007arXiv2108.06041WikidataQ114154266 ScholiaQ114154266MaRDI QIDQ6375136FDOQ6375136
Publication date: 12 August 2021
Abstract: In the estimation of the mean matrix in a multivariate normal distribution, the generalized Bayes estimators with closed forms are provided, and the sufficient conditions for their minimaxity are derived relative to both matrix and scalar quadratic loss functions. The generalized Bayes estimators of the covariance matrix are also given with closed forms, and the dominance properties are discussed for the Stein loss function.
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