Improved minimax estimation of powers of the variance of a multivariate normal distribution under the entropy loss function

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• 作者：Pal ; Nabendu ; Chiahua ; Ling
• 关键词：Affine equivariance ; Loss function ; Minimax estimator ; Risk function ; Uniform domination
• 刊名：Statistics and Probability Letters
• 出版年：1995
• 期刊代码：56_01677152
• 类别：mt
• 出版时间：August 15, 1995
• 卷：24
• 期：3
• 页码：205-211
• 文件大小：289 K

摘要

Consider the problem of estimating positive powers of the variance of a multivariate normal distribution. We show that Strawderman (Strawderman, 1974) type minimax estimators, which are better than the best affine equivariant estimators under the quadratic loss function, can also be derived under the entropy loss function.