Let X 1 ,..., X n be i.i.d. random variables having a multivariate normal distribution with mean vector θ and covariance matrix I p . Also, let θ have a multivariate normal distribution with mean...

Let X₁,..., X_n
be i.i.d. random variables having a multivariate normal distribution with mean vector θ and covariance matrix I_p. Also, let θ have a multivariate normal distribution with mean vector µ and covariance matrix τ²
I_p, for some τ > 0. Obtain the Bayes estimator under a quadratic error loss. Examine the difficultie in deriving the Bayes estimator under absolute error loss function.