Estimation of scatter matrix based on i.i.d. sample from elliptical distributions

DOI10.1007/BF02007178zbMath0844.62041OpenAlexW2083758619MaRDI QIDQ1913905

Kai-Tai Fang, Run-Ze Li

Publication date: 29 July 1996

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02007178

zbMATH Keywords

entropy lossquadratic lossminimax estimatorelliptical distributionbest equivariant estimatorbest estimatortriangular transformations group

Mathematics Subject Classification ID

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

Related Items (1)

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
• Estimation of scale matrix of elliptically contoured matrix distributions
• Invariance, Minimax Sequential Estimation, and Continuous Time Processes

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