Abstract
ABSTRACTThis note considers the problem of estimating the mean matrix of a matrix-variate normal distribution with the covariance matrix when the loss function is , where is unknown. We find a large class of (proper and generalized) Bayes minimax estimators for the mean matrix. This class includes classes of estimators obtained by Tsukuma [Proper Bayes minimax estimators of the normal mean matrix with common unknown variances. J Statist Plan Inference. 2010;140:2596–2606].
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