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April 1998 On the construction of Bayes minimax estimators
Dominique Fourdrinier, William E. Strawderman, Martin T. Wells
Ann. Statist. 26(2): 660-671 (April 1998). DOI: 10.1214/aos/1028144853

Abstract

Bayes estimation of the mean of a multivariate normal distribution is considered under quadratic loss. We show that, when particular spherical priors are used, the superharmonicity of the square root of the marginal density provides a viable method for constructing (possibly proper) Bayes (and admissible) minimax estimators. Examples illustrate the theory; most notably it is shown that a multivariate Student-$t$ prior yields a proper Bayes minimax estimate.

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Dominique Fourdrinier. William E. Strawderman. Martin T. Wells. "On the construction of Bayes minimax estimators." Ann. Statist. 26 (2) 660 - 671, April 1998. https://doi.org/10.1214/aos/1028144853

Information

Published: April 1998
First available in Project Euclid: 31 July 2002

zbMATH: 0929.62004
MathSciNet: MR1626063
Digital Object Identifier: 10.1214/aos/1028144853

Subjects:
Primary: 62C10, 62C15, 62C20
Secondary: 62A15

Rights: Copyright © 1998 Institute of Mathematical Statistics

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Vol.26 • No. 2 • April 1998
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