(5.62)

Theorem 5.3.2. Let X be distributed as Np(µ, I) and L(µ, d) = (µ-d)'(µ-d). Then

dominates X for 0<a<2(p-1), p=3 and dp-2(X) is the uniformly best estimator of µ in the class of estimators da(X), 0<a<2(p-1).