Bayesian Wavelet Stein’s Unbiased Risk Estimation of Multivariate Normal Distribution Under Reflected Normal Loss

In this paper, we consider the generalized Bayes estimator of mean vector parameter for multivariate normal distribution with unknown mean vector and covariance matrix under reflected normal loss function. We also prove admissibility and minimaxity of the generalized Bayes estimator. We obtain Stein’s unbiased risk estimator (SURE) threshold based on generalized Bayes SURE estimator and we find the wavelet shrinkage generalized Bayes SURE estimator. At the end, we check the performance of this estimator and we provide two real examples.