A Note on Improved Multivariate Normal Mean Estimation With Unknown Covariance When p Is Greater Than n

Abstract: In this paper, we highlight a major error in the proofs of the important results of [D.Ch\'etelat and M. T. Wells(2012). Improved Multivariate Normal Mean Estimation with Unknown Covariance when p is Greater than n. The Annals of Statistics, Vol. 40, No.6, 3137--3160]. In particular, the proofs of some of their main results are based on Theorem 2 whose proof needs to be revisited. More precisely, there are some major mistakes in the derivation of this important result. Further, under a very realistic assumption about the rank of the estimator of the variance-covariance matrix, we correct the proof of the quoted result.