Abstract
The Baysian estimation of the mean vector θ of a p-variate normal distribution under linear exponential (LINEX) loss function is studied when as a special restricted model, it is suspected that for a p × r known matrix Z the hypothesis θ = Zβ, \({\beta\in\Re^r}\) may hold. In this area we show that the Bayes and empirical Bayes estimators dominate the unrestricted estimator (when nothing is known about the mean vector θ).
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Arashi, M., Tabatabaey, S.M.M. Estimation of the location parameter under LINEX loss function: multivariate case. Metrika 72, 51–57 (2010). https://doi.org/10.1007/s00184-009-0240-9
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DOI: https://doi.org/10.1007/s00184-009-0240-9