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Minimax estimators of a normal variance

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Abstract.

In the estimation problem of unknown variance of a multivariate normal distribution, a new class of minimax estimators is obtained. It is noted that a sequence of estimators in our class converges to the Stein's truncated estimator.

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Authors and Affiliations

  1. Graduate School of Mathematics, Kyushu University, 6-10-1 Hakozaki, Higashi-ku, Fukuoka 812-8581, Japan (e-mail: maruyama@math.kyushu-u.ac.jp), , , , , , JP

    Yuzo Maruyama

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  1. Yuzo Maruyama
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Received: March 1998

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Maruyama, Y. Minimax estimators of a normal variance. Metrika 48, 209–214 (1998). https://doi.org/10.1007/PL00003974

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  • DOI: https://doi.org/10.1007/PL00003974

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