Estimation of the mean vector of a multivariate normal model under reflected normal loss

B. Ghari, M. Arashi, S.M.M. Tabatabaey

For estimating an unknown mean vector-parameter \bm{\theta} in a multivariate normal
population, we propose the unrestricted, restricted and preliminary test estima-
tors and derive their exact risk expressions under a modified reflected normal loss
function. This approach is an extension to the work of Giles [2002. Preliminary-
Test and Bayes Estimation of A Location Parameter Under Reflected Normal
Loss, in Ullah, A. and Chaturvedi, A, Handbook of Applied Econometrics and
Statistical Inference, Marcel Decker, New York, 287-303]. Comparison are then
made for more clarity of the behavior of the estimators.

 

Fulltext