Sankhya: The Indian Journal of Statistics
1995, Volume 57, Series A, Pt. 2, pp. 267--286
IMPROVED ESTIMATION OF A MULTIVARIATE NORMAL MEAN VECTOR AND THE DISPERSION MATRIX : HOW ONE AFFECTS THE OTHER
NABENDU PAL and ABDULAZIZ ELFESSI, University of Southwestern Louisiana
SUMMARY. In this article we consider the problem of estimating the mean vector and the dispersion matrix of a multivariate normal distribution based on a sample of size $n$. Using simple techniques we show that the improved estimators of the mean vector can be used to construct improved estimators of the dispersion matrix and vice-versa.
AMS (1991) subject classification. Primary 62C15, secondary 62H12.
Key words and phrases. Inadmissibility, loss function, James-Stein estimator, Wishart identity.
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