Minimax estimation for certain independent component distributions under weighted squared error loss

Robert J. Miceli, William E. Strawderman

Research output: Contribution to journalArticlepeer-review

4 Scopus citations

Abstract

Let X be a vector of independent components with mean vector θ. We assume that the distribution of the jth component is of the form [formula omitted], i.e. a variant mixture of normal distribution. We show that certain explicit James-Stein type estimators are minimax for the problem of estimating the vector [formula omitted] under the loss function [formula omitted].

Original languageEnglish (US)
Pages (from-to)2191-2200
Number of pages10
JournalCommunications in Statistics - Theory and Methods
Volume15
Issue number7
DOIs
StatePublished - Jan 1 1986

All Science Journal Classification (ASJC) codes

  • Statistics and Probability

Keywords

  • James-Stein estimation
  • Location parameters
  • decision theory

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