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| Paper IPM / M / 17244 | ||||||||||||||||||
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| Abstract: | ||||||||||||||||||
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The problem of estimating the variance of a multivariate normal distribution is considered under quadratic loss. A large class of generalized Bayes
minimax estimators for the variance is found. This class include estimators
obtained by Ghosh (1994). A simulation study shows superior performance
of our estimators
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