Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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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)
  • Received : 2011.09.29
  • Accepted : 2011.11.06
  • Published : 2011.12.01
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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

References

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