Wavelet Shrinkage Generalized Bayes Estimation for Multivariate Normal Distribution Mean Vectors with unknown Covariance Matrix under Balanced-LINEX Loss, By Hamid Karamikabir

Research

Title	Wavelet Shrinkage Generalized Bayes Estimation for Multivariate Normal Distribution Mean Vectors with unknown Covariance Matrix under Balanced-LINEX Loss
Type	Article
Keywords	admissibility; generalized bayes estimator; balanced-linex loss; minimaxity; multivariate normal distribution; soft wavelet shrinkage estimator.
Journal	Revista Colombiana de Estadistica
DOI	http://doi.org/10.15446/rce.v45n1.92037
Researchers	Hamid Karamikabir (First researcher) , Mahmoud Afshari (Second researcher)

Abstract

In this paper, the generalized Bayes estimator of mean vector parameter for multivariate normal distribution with Unknown mean vector and covariance matrix is considered. This estimation is performed under the balanced-LINEX error loss function. The generalized Bayes estimator by using wavelet transformation is investigated. We also prove admissibility and minimaxity of shrinkage estimator and we present the simulation study and real data set for test validity of new estimator.