Bayes minimax estimation of the mean matrix of matrix-variate normal distribution under balanced loss function

Research output: Contribution to journalArticle

  • Authors:
  • S. Zinodiny
  • S. Rezaei
  • S. Nadarajah

Abstract

This note considers the problem of simultaneous estimation of matrix-variate normal mean matrix using a balanced loss function when common variance σ2 is unknown. We first find a class of minimax estimators for this problem and show that the maximum likelihood estimator is inadmissible. We obtain a large class of (proper and generalized) Bayes minimax estimators for the mean matrix.

Bibliographical metadata

Original languageEnglish
Pages (from-to)110-120
Number of pages11
JournalStatistics and Probability Letters
Volume125
Early online date13 Feb 2017
DOIs
StatePublished - 1 Jun 2017