Estimation of the scale matrix and its eigenvalues in the Wishart and the multivariate \(F\) distributions

DOI10.1023/A:1003529529228zbMath0912.62063OpenAlexW1965760109MaRDI QIDQ1280566

Pui Lam Leung, Wai Yin Chan

Publication date: 30 May 1999

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1003529529228

zbMATH Keywords

covariance matrixshrinkage estimatororthogonally invariant estimatordecision-theoretic estimation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Statistical decision theory (62C99)

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