Minimax Estimators of the Mean of a Multivariate Normal Distribution
Open Access
- 1 January 1975
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Statistics
- Vol. 3 (1) , 209-218
- https://doi.org/10.1214/aos/1176343009
Abstract
An extension of Strawderman's results yields minimax admissible estimates for the mean of a $p$-variate normal distribution where the known nonsingular covariance matrix is not necessarily the identity and $p > 2$. Minimax estimators for the case where the covariance matrix is unknown are also given.