Improved estimation of parameter matrices in one-sample and two-sample problems

DOI10.1023/A:1014661221279zbMath1003.62049OpenAlexW1479749306MaRDI QIDQ1603015

Pui Lam Leung, Foon Yip Ng

Publication date: 24 June 2002

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:1014661221279

zbMATH Keywords

eigenvaluescovariance matrixshrinkage estimatorharmonic meanorthogonally invariant estimator

Mathematics Subject Classification ID

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

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