Estimation of the eigenvalues of \(\Sigma{}_ 1\Sigma{}_ 2^{-1}\) (Q1186768)
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scientific article; zbMATH DE number 37130
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of the eigenvalues of \(\Sigma{}_ 1\Sigma{}_ 2^{-1}\) |
scientific article; zbMATH DE number 37130 |
Statements
Estimation of the eigenvalues of \(\Sigma{}_ 1\Sigma{}_ 2^{-1}\) (English)
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28 June 1992
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independent Wishart matrices
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loss function
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multivariate \(F\)- distribution
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unbiased risk estimator
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eigenvalue estimation
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normal two- sample problem
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invariant test
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hypothesis of the equality of population covariance matrices
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power function
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eigenvalues
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orthogonally invariant minimax estimator
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estimated eigenvalues
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risk reduction
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