On the construction of Bayes minimax estimators
成果类型：
Article
署名作者：
Fourdrinier, D; Strawderman, WE; Wells, MT
署名单位：
Universite de Rouen Normandie; Centre National de la Recherche Scientifique (CNRS); Rutgers University System; Rutgers University New Brunswick; Cornell University
刊物名称：
ANNALS OF STATISTICS
ISSN/ISSBN：
0090-5364
发表日期：
1998
页码：
660-671
关键词：
摘要：
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.