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<p>In this paper, I explore the estimation of a multivariate normal mean (MNM). Focusing on the balanced loss function (BLF), I analyze the minimax properties of a general class of shrinkage estimators. I then propose more practical sufficient conditions for the shrinkage function to demonstrate that the new estimators dominate the maximum likelihood estimator (MLE), thereby showing that these proposed estimators are minimax. I conclude the paper with numerical results that validate our theoretical conclusions.</p>

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A General Class of Minimax Shrinkage Estimators Under the Balanced Loss Function

  • 期刊论文

  • 发表日期：

    2025年7月22日

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  • Amani Alahmadi

摘要

In this paper, I explore the estimation of a multivariate normal mean (MNM). Focusing on the balanced loss function (BLF), I analyze the minimax properties of a general class of shrinkage estimators. I then propose more practical sufficient conditions for the shrinkage function to demonstrate that the new estimators dominate the maximum likelihood estimator (MLE), thereby showing that these proposed estimators are minimax. I conclude the paper with numerical results that validate our theoretical conclusions.