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Original Articles

Improved estimation of the generalized precision under the squared loss

Pages 2725-2742 | Received 01 Feb 1998, Published online: 27 Jun 2007
 

Abstract

Let X˜ Np(μ,∑), where μεRp, ∑>0, both μ and ∑ being unknown. Three methods are used in this paper for improving upon the best affine equivariant esti¬mator of the generalized precision |∑|−1 under the squared loss and the relationships between Stein type truncated estimator and each of three classes of improved estimators are also studied.

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