Improved estimation of the covariance matrix under Stein's loss

DOI10.1016/j.spl.2008.10.024zbMath1157.62036OpenAlexW1989901452MaRDI QIDQ1009700

Ren-Dao Ye, Song-Gui Wang

Publication date: 3 April 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.10.024

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Admissibility in statistical decision theory (62C15)

Related Items (3)

PREDICTIVE ESTIMATION OF A COVARIANCE MATRIX AND ITS STRUCTURAL PARAMETERS ⋮ Three strings of inequalities among six Bayes estimators ⋮ The Bayes rule of the parameter in (0,1) under Zhang’s loss function with an application to the beta-binomial model

Cites Work

• Estimation of a covariance matrix under Stein's loss
• Trimmed minimax estimator of a covariance matrix
• Inadmissibility of non-order-preserving orthogonally invariant estimators of the covariance matrix in the case of Stein's loss
• Estimation of the scale matrix and its eigenvalues in the Wishart and the multivariate \(F\) distributions
• Improved estimation of a covariance matrix in an elliptically contoured matrix distribution
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