Generalized Bayes Estimators with Closed forms for the Normal Mean and Covariance Matrices
Statistics Theory
2021-08-16 v1 Statistics Theory
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.
Keywords
Cite
@article{arxiv.2108.06041,
title = {Generalized Bayes Estimators with Closed forms for the Normal Mean and Covariance Matrices},
author = {Ryota Yuasa and Tatsuya Kubokawa},
journal= {arXiv preprint arXiv:2108.06041},
year = {2021}
}