Bayes Minimax Competitors of Preliminary Test Estimators in k Sample Problems

11/30/2017

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by   Ryo Imai, et al.

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In this paper, we consider the estimation of a mean vector of a multivariate normal population where the mean vector is suspected to be nearly equal to mean vectors of k-1 other populations. As an alternative to the preliminary test estimator based on the test statistic for testing hypothesis of equal means, we derive empirical and hierarchical Bayes estimators which shrink the sample mean vector toward a pooled mean estimator given under the hypothesis. The minimaxity of those Bayesian estimators are shown, and their performances are investigated by simulation.