Simultaneous Estimation of Location Parameters Under Quadratic Loss

Abstract

Simultaneous estimation of $p(p \geq 3)$ location parameters are considered under quadratic loss. Explicit estimators which dominate the best invariant one are given mainly when coordinates of the best invariant one are independently, identically and symmetrically distributed. Effectiveness of integration by parts in evaluating the risk function of the dominating estimator is shown for three typical continuous distributions (uniform, double exponential and $t$). Further explicit dominating estimators are given in terms of second and fourth moments of the best invariant one.