Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Admissible Hierarchical Bayes Estimators of a Multivariate Normal Mean Shrinking towards a Regression Surface

  • Cho, Byung-Yup (Professor, Department of Computer Science and Statistics, Chosun University, Kwangju, 501-759) ;
  • Choi, Kuey-Chung (Professor, Department of Computer Science and Statistics, Chosun University, Kwangju, 501-759, KOREA) ;
  • Chang, In-Hong (Lecturer, Department of Mathematics, Hanyang University, Seoul, 133-791)
  • Published : 1996.08.01
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Abstract

Consider the problem of estimating a multivariate normal mean with an unknown covarience matrix under a weighted sum of squared error losses. We first provide hierarchical Bayes estimators which shrink the usual (maximum liklihood, uniformly minimum variance unbiased) estimator towards a regression surface and then prove the admissibility of these estimators using Blyth's (1951) method.

Keywords

References

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