Bayesian Wavelet Stein’s Unbiased Risk Estimation of Multivariate Normal Distribution Under Reflected Normal Loss, By Mahmoud Afshari

Research

Title	Bayesian Wavelet Stein’s Unbiased Risk Estimation of Multivariate Normal Distribution Under Reflected Normal Loss
Type	Article
Keywords	Generalized Bayes, Multivariate normal distribution, Reflected normal loss, Threshold, Wavelet shrinkage,
Journal	METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY
DOI	https://doi.org/10.1007/s11009-023-09992-3
Researchers	Hamid Karamikabir (First researcher) , Nasrin Karamikabir (Second researcher) , MohammadAli Khajeian (Third researcher) , Mahmoud Afshari (Fourth researcher)

Abstract

In this paper, we consider the generalized Bayes estimator of mean vector parameter for multivariate normal distribution with Unknown mean vector and covariance matrix under reflected normal loss function. We also prove admissibility and minimaxity of the generalized Bayes estimator. We obtain stein’s unbiased risk estimator (SURE) threshold based on generalized Bayes estimator and we find the wavelet shrinkage generalized bayes SURE estimator. At the end, we check the performance of this estimator and we provide two real examples.