FRAISSE, Anne-Marie; ROBERT, Christian; ROY, Madeleine - In: Annales d'Economie et de Statistique (1987) 8, pp. 161-175
The problem of the estimation of a multivariate normal mean when the variance is known up to a multiplicative factor is considered under an arbitrary quadratic loss. We introduce shrinkage estimators with differentiable shrinking functions under weak algebraic assumptions. We deduce sufficient...