Bayesian minimax estimation of the normal model with incomplete prior covariance matrix specification
This work addresses the issue of Bayesian robustness in the multivariate normal model when the prior covariance matrix is not completely specified, but rather is described in terms of positive semi-definite bounds. This occurs in situations where, for example, the only prior information available is...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Institute of Electrical and Electronics Engineers
2010
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/5185 |