Erschienen in:
Journal of Siberian Federal University. Mathematics & Physics (2020), Seite 608-621
Sprache:
Englisch
DOI:
10.17516/1997-1397-2020-13-5-608-621
ISSN:
2313-6022;
1997-1397
Entstehung:
Anmerkungen:
Beschreibung:
The problem of estimating the mean of a multivariate normal distribution by different types of shrinkage estimators is investigated. We established the minimaxity of Baranchick-type estimators for identity covariance matrix and the matrix associated to the loss function is diagonal. In particular the class of James-Stein estimator is presented. The general situation for both matrices cited above is discussed