Abstract
For ap-variate normal mean with known variances, the model proposed by Zellner (1986,J. Amer. Statist. Assoc.,81, 446–451) is discussed in a slightly different framework. A generalized Bayes estimate is derived from a three-stage Bayes point of view under the asymmetric loss function, and the admissibility of such estimators is proved.
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Parsian, A. On the admissibility of an estimator of a normal mean vector under a linex loss function. Ann Inst Stat Math 42, 657–669 (1990). https://doi.org/10.1007/BF02481143
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DOI: https://doi.org/10.1007/BF02481143