GENERALIZED BAYES SURE FOR MULTIVARIATE NORMAL DISTRIBUTION UNDER BALANCED-QUADRATIC LOSS

One of the most important subjects in statistics is the theory of estimation. In this paper, we consider the generalized Bayes shrinkage estimator of the mean vector for multivariate normal distribution with the unknown covariance matrix under balanced quadratic loss. Also, we find the minimax and admissible estimator of the mean vector based on the generalized Bayes estimator. We obtain Stein’s unbiased risk estimator (SURE) threshold with a generalized Bayes shrinkage estimator and we find the wavelet shrinkage generalized Bayes SURE. Finally, we present a simulation study to test the validity of the generalized Bayes SURE and the concrete compressive strength dataset is given to test the efficiency of this estimator in denoising.