Estimation of scale matrix of elliptically contoured matrix distributions

DOI10.1016/0167-7152(94)00186-CzbMath0838.62043MaRDI QIDQ1903176

Kai-Tai Fang, Run-Ze Li

Publication date: 26 November 1995

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

zbMATH Keywords

squared error lossentropy lossquadratic lossminimax estimatorbest equivariant estimatorestimation of scale matrixtriangular transformations group

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Foundations and philosophical topics in statistics (62A01)

Related Items (2)

Estimation of scatter matrix based on i.i.d. sample from elliptical distributions ⋮ Estimation of the inverse scatter matrix of an elliptically symmetric distribution

Cites Work

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• Estimation of a covariance matrix under Stein's loss
• Simultaneous estimation of eigenvalues
• An identity for the Wishart distribution with applications
• Empirical Bayes estimation of the multivariate normal covariance matrix
• Invariance, Minimax Sequential Estimation, and Continuous Time Processes

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