Chen, Shun-Yu - In: Journal of Multivariate Analysis 24 (1988) 2, pp. 207-217
Let X = (X1,...,Xp)t to be an observation from a p-variate normal distribution with unknown mean vector [theta] = ([theta]1,...,[theta]p)t and known covariance matrix [Sigma]. It is desired to estimate [theta] under the quadratic loss L([theta], [delta]) = ([theta] - [delta])tQ([theta] -...