Baranchick-type Estimators of a Multivariate Normal Mean Under the General Quadratic Loss Function

Abstract

The problem of estimating the mean of a multivariate normal distribution by different types of shrinkage estimators is investigated. We established the minimaxity of Baranchick-type estimators for identity covariance matrix and the matrix associated to the loss function is diagonal. In particular the class of James-Stein estimator is presented. The general situation for both matrices cited above is discussed