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Journal of Siberian Federal University. Mathematics & Physics, 2020, Volume 13, Issue 5, Pages 608–621
DOI: https://doi.org/10.17516/1997-1397-2020-13-5-608-621 (Mi jsfu867) 		 
This article is cited in 2 scientific papers (total in 2 papers)

Baranchick-type estimators of a multivariate normal mean under the general quadratic loss function

Abdenour Hamdaouiab, Abdelkader Benkhaledc, Mekki Terbecheda

a Department of Mathematics University of Sciences and Technology, Mohamed Boudiaf, Oran, Algeria
b Laboratory of Statistics and Random Modelisations (LSMA), Tlemcen, Algeria
c Department of Biology Mascara University Mustapha Stambouli, Laboratory of Geomatics, Ecology and Environment (LGEO2E), Mascara, Algeria
d Laboratory of Analysis and Application of Radiation (LAAR), USTO-MB, Oran, Algeria
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DOI: https://doi.org/10.17516/1997-1397-2020-13-5-608-621
Abstract: 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.
Keywords: сovariance matrix, James–Stein estimator, loss function, multivariate gaussian random variable, non-central chi-square distribution, shrinkage estimator.
Funding agency
This research is supported by the Thematic Research Agency in Science and Technology (ATRST-Algeria).
Received: 08.04.2020
Received in revised form: 01.06.2020
Accepted: 16.07.2020
Bibliographic databases:
Document Type: Article
UDC: 517.9
Language: English
Citation: Abdenour Hamdaoui, Abdelkader Benkhaled, Mekki Terbeche, “Baranchick-type estimators of a multivariate normal mean under the general quadratic loss function”, J. Sib. Fed. Univ. Math. Phys., 13:5 (2020), 608–621
Citation in format AMSBIB
\Bibitem{HamBenTer20}
\by Abdenour~Hamdaoui, Abdelkader~Benkhaled, Mekki~Terbeche
\paper Baranchick-type estimators of a multivariate normal mean under the general quadratic loss function
\jour J. Sib. Fed. Univ. Math. Phys.
\yr 2020
\vol 13
\issue 5
\pages 608--621
\mathnet{http://mi.mathnet.ru/jsfu867}
\crossref{https://doi.org/10.17516/1997-1397-2020-13-5-608-621}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000580315300009}
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    • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Журнал Сибирского федерального университета. Серия "Математика и физика"
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