Trimmed minimax estimator of a covariance matrix (Q1074983)
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scientific article; zbMATH DE number 3949513
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Trimmed minimax estimator of a covariance matrix |
scientific article; zbMATH DE number 3949513 |
Statements
Trimmed minimax estimator of a covariance matrix (English)
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1986
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Wishart distribution
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Stein's loss
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Stein's truncation
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adaptive
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estimator
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estimating the covariance matrix
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multivariate normal population
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orthogonally invariant trimmed estimator
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differential inequality
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eigenvalues of the sample covariance matrix
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Monte Carlo simulation
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minimax estimator
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