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Baranchick-type estimators of a multivariate normal mean under the general quadratic loss function. (English) Zbl 07334119
Summary: 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.
MSC:
62C Statistical decision theory
62H Multivariate analysis
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References:
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