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http://dx.doi.org/10.5351/CKSS.2005.12.2.463

A Sequence of Improvement over the Lindley Type Estimator with the Cases of Unknown Covariance Matrices  

Kim, Byung-Hwee (Department of Mathematics, Hanyang University)
Baek, Hoh-Yoo (Division of Mathematics and Informational Statistics, Wonkwang University)
Publication Information
Communications for Statistical Applications and Methods / v.12, no.2, 2005 , pp. 463-472 More about this Journal
Abstract
In this paper, the problem of estimating a p-variate (p $\ge$4) normal mean vector is considered in decision-theoretic set up. Using a simple property of the noncentral chi-square distribution, a sequence of estimators dominating the Lindley type estimator with the cases of unknown covariance matrices has been produced and each improved estimator is better than previous one.
Keywords
normal mean vector; noncentral chi-square; Lindley type estimator;
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