Asymptotic variance estimation in multivariate distributions
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Abstract
A version of an asymptotic estimation problem of the unknown variance in a multivariate location-scale parameter family is studied under a general loss function. The asymptotic inadmissibility of the traditional estimator is established. In a particular case we derive an admissible improvement on this estimator.Variance estimation quadratic polynomial in normal means generalized Bayes estimator Brewster-Zidek estimator admissibility