Bayes minimax estimation of the multivariate normal mean vector under balanced loss function.

We investigate the problem of simultaneous estimation of multivariate normal mean vector using Zellner (1994)'s balance loss function when common variance σ² is unknown. We first find a class of minimax estimators for this problem which extends a class given by Chung et al. (1999). This result is then used to obtain a large class of Bayes minimax estimators for mean vector. [ABSTRACT FROM AUTHOR]