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Bayesian estimation of a multivariate mean under model uncertainty

Georges Nguefack-Tsague


This paper considers the problem of estimating a multivariate mean under Bayesian context when many models are a-priori plausible. We suggest that the use of Bayesian model averaging (BMA) scheme for taking account uncertainty could be more appropriate than a single model. Some properties of the proposed method are investigated together with an application in the context of estimation in an analysis of variance (ANOVA) model.


Bayes estimate, James and Stein estimator, Bayesian model averaging, minimax, normal multivariate mean.

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