Ghosh, Malay; Sinha, Bimal K.; Mukhopadhyay, Nitis - In: Journal of Multivariate Analysis 6 (1976) 2, pp. 281-294
For a multivariate normal distribution with unknown mean vector and unknown dispersion matrix, a sequential procedure for estimating the unknown mean vector is suggested. The procedure is shown to be asymptotically "risk efficient" in the sense of Starr (Ann. Math. Statist. (1966), 1173-1185),...