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Wavelet Shrinkage Generalized Bayes Estimation for Multivariate Normal Distribution Mean Vectors with unknown Covariance Matrix under Balanced-LINEX Loss
Contracción de la ondícula Estimación de Bayes generalizada para vectores medios de distribución normal multivariante con matriz de covarianza desconocida con pérdida de LINEX equilibrada
DOI:
https://doi.org/10.15446/rce.v45n1.92037Keywords:
Admissibility, Generalized Bayes estimator, Balanced-LINEX loss, Minimaxity, Multivariate normal distribution, Soft wavelet shrinkage estimator (en)Admisibilidad, Estimador de Bayes generalizado, Estimador de contracción de ondas suaves, Distribución normal multivariante, Minimaxidad, Pérdida de LINEX equilibrada (es)
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In this paper, the generalized Bayes estimator of mean vector parameter for multivariate normal distribution with Unknown mean vector and covariance matrix is considered. This estimation is performed under the balanced-LINEX error loss function. The generalized Bayes estimator by using wavelet transformation is investigated. We also prove admissibility and minimaxity of shrinkage estimator and we present the simulation study and real data set for test validity of new estimator.
En este trabajo, se considera el estimador de Bayes generalizado del parámetro de vector medio para distribución normal multivariante con vector de media desconocido y matriz de covarianza. Esta estimación se realiza bajo la función de pérdida de error LINEX balanceada. Se investiga el estimador de Bayes generalizado mediante la transformación de ondículas. También probamos la admisibilidad y minimaxidad del estimador de contracción y presentamos el estudio de simulación y el conjunto de datos reales para
comprobar la validez de la prueba del nuevo estimador.
References
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