Families of Minimax Estimators of the Mean of a Multivariate Normal Distribution.

Bradley Efron, Carl N. Morris

Expert InsightsPublished 1974

The results of this paper will be useful to researchers involved in the theoretical development of estimation of the mean of a multivariate normal distribution. New criteria, more general than any yet published, are given here for identifying minimax and robust empirical Bayes estimators, including cases where the covariance matrix must be estimated. This paper, one of a series of studies by the authors on the subject of improved methods for multiparameter estimation, presents no applications. (See also R-1394.) 23 pp.

Document Details

  • Copyright: RAND Corporation
  • Availability: Web Only
  • Year: 1974
  • Pages: 23
  • Document Number: P-5170

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Efron, Bradley and Carl N. Morris, Families of Minimax Estimators of the Mean of a Multivariate Normal Distribution. Santa Monica, CA: RAND Corporation, 1974. https://www.rand.org/pubs/papers/P5170.html.
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