MINIMAX ESTIMATION OF A MULTIVARIATE NORMAL MEAN UNDER A CONVEX LOSS FUNCTION

Let X = (X₁, - X_p)prime; ? N_p (μ, Σ) where μ= (μ₁, -, μ_p)' and Σ= diag (Σ²₁, -, Σ²_p) are both unknown and p3. Let (n_i - 2) w_i/Σ²_i! X²_ni, independent. of w_i (I ≠ j = 1, -, p). Assume that (w₁, -, w_p) and X are independent. Define W = diag (w₁, -, w_p) and ¶ X ¶²_w= X'W^-1Q^-1W^-1X where Q = diag (q₁, -,n q_p), q_i > 0, i = 1, -, p. In this paper, the minimax estimator of Berger & Bock (1976), given by δ (X, W) = I_p - r(X, W) ¶ X ¶^-2_w Q^-1W^-1] X, is shown to be minimax relative to the convex loss (δ - μ)'αQ + (1 - α) Σ^-1] δ - μ)/C, where C =α tr (Σ) + (1 - α)p and 0 α 1, under certain conditions on r(X, W). This generalizes the above mentioned result of Berger & Bock.