On improved estimation in a conditionally Gaussian regression

2011/05/25 by Evgeny Pchelintsev, Pchelintsev, Evgeny
Computer Science · Mathematics · #Advanced Statistical Methods and Models #Bayesian Methods and Mixture Models #FOS: Mathematics #Geochemistry and Geologic Mapping #Statistics Theory (math.ST)

paper · pdf · doi:10.48550/arxiv.1105.5036

openalex publication_date 2011/05/25 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

The paper considers the problem of estimating a p≥2 dimensional mean vector of a multivariate conditionally normal distribution under quadratic loss. The problem of this type arises when estimating the parameters in a continuous time regression model with a non-Gaussian Ornstein--Uhlenbeck process driven by the mixture of a Brownian motion and a compound Poisson process.

Citations

• Estimation of the Mean of a Multivariate Normal Distribution

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