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An approach to improving the Lindley estimator  

Park, Tae-Ryoung (Department of Computer Engineering, Seokyeong University)
Baek, Hoh-Yoo (Division of Mathematics and Informational Statistics, Wonkwang University)
Publication Information
Journal of the Korean Data and Information Science Society / v.22, no.6, 2011 , pp. 1251-1256 More about this Journal
Abstract
Consider a p-variate ($p{\geq}4$) normal distribution with mean ${\theta}$ and identity covariance matrix. Using a simple property of noncentral chi square distribution, the generalized Bayes estimators dominating the Lindley estimator under quadratic loss are given based on the methods of Brown, Brewster and Zidek for estimating a normal variance. This result can be extended the cases where covariance matrix is completely unknown or ${\Sigma}={\sigma}^2I$ for an unknown scalar ${\sigma}^2$.
Keywords
Generalized Bayes estimator; Lindley estimator; normal distribution; quadratic loss;
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Times Cited By KSCI : 1  (Citation Analysis)
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