Bayesian minimax estimation of the normal model with incomplete prior covariance matrix specification

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...

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Bibliographic Details
Main Authors: Pham, DucSon, Bui, Hung H., Venkatesh, Svetha
Format: Journal Article
Published: Institute of Electrical and Electronics Engineers 2010
Subjects:
minimax estimator
Bayesian point estimate
shrinkage method
robust Bayesian analysis
prior uncertainty
normal model
gamma-minimax
Online Access:http://hdl.handle.net/20.500.11937/5185

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