Simultaneous estimation of the multivariate normal mean under balanced loss function |
| |
Authors: | Younshik Chung Chansoo Kim |
| |
Institution: | Department of Statistics , Pusan National University , Pusan, 609-735, Korea |
| |
Abstract: | This paper considers simultaneous estimation of multivariate normal mean vector using Zellner's(1994) balanced loss function which is defined as follows: where 0 < w < 1 and for i = 1,…,p and j = 1,…,n, Xij is distributed as normal with mean θi and variance 1. It is shown that the sample mean, X, is admissible when p <3. For p ≥3, we obtain that James-Stein type estimator which has uniformly smaller risk than that of sample mean X. |
| |
Keywords: | Admissibility Inadmissibility James-Stein type estimator |
|
|