The Annals of Mathematical Statistics
- Ann. Math. Statist.
- Volume 41, Number 2 (1970), 642-645.
A Family of Minimax Estimators of the Mean of a Multivariate Normal Distribution
A family of estimators, each of which dominates the "usual" one, is given for the problem of simultaneously estimating means of three or more independent normal random variables which have a common unknown variance. Charles Stein  established the existence of such estimators (for the case of a known variance) and later, with James , exhibited some, both for the case of unknown common variances considered here and for other cases as well. Alam and Thompson  have also obtained estimators which dominate the usual one. The class of estimators given in this paper contains those of James and Stein and also those of Alam and Thompson.
Ann. Math. Statist., Volume 41, Number 2 (1970), 642-645.
First available in Project Euclid: 27 April 2007
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Baranchik, A. J. A Family of Minimax Estimators of the Mean of a Multivariate Normal Distribution. Ann. Math. Statist. 41 (1970), no. 2, 642--645. doi:10.1214/aoms/1177697104. https://projecteuclid.org/euclid.aoms/1177697104