Work

Minimaxity and Limits of Risks Ratios of Shrinkage Estimators of a Multivariate Normal Mean in the Bayesian Case

Year: 2020

Type: article

Abstract: In this article, we consider two forms of shrinkage estimators of a multivariate normal mean with unknown variance. We take the prior law as a normal multivariate distribution and we construct a Modified Bayes estimator and an Empirical Modified Bayes estimator. We are interested instudying the minimaxity and the behavior of risks ratios of these estimators to the maximum likelihood estimator, when the dimension of the parameters space and the sample size tend to infinity.

Source: Statistics Optimization & Information Computing

DOI: 10.19139/soic-2310-5070-735

Authors: Abdenour Hamdaoui, Abdelkader Benkhaled, Nadia Mezouar

Institutions: Université des Sciences et de la Technologie d'Oran Mohamed Boudiaf, Université Mustapha Stambouli de Mascara

Language: English

Topic: Statistical Methods and Inference

Subfield: Statistics and Probability

Field: Mathematics

Domain: Physical Sciences

Open Access status: diamond

OpenAlex ID: W3005854576

FWCI: 1.626

Cites: 12

Cited by: 14

Related to: 10