Admissible Linear Estimates of the Mean Vector

Abstract

For the p-variate normal mean with known variances, the Lindley-Smith (1972) estimators are shown to be generalized Bayes under symmetric bowl shaped loss, and the admissibility of such estimators is proved. Also, when the variance-covariance matrix is unknown, generalized Bayes estimators are proposed under symmetric bowl shaped loss, and their admissibility is also proved.