Estimating the covariance matrix and the generalized variance under a symmetric loss

DOI10.1007/BF00050840zbMath0712.62047MaRDI QIDQ749111

Yoshihiko Konno, Tatsuya Kubokawa

Publication date: 1990

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

zbMATH Keywords

covariance matrixWishart distributiongeneralized varianceinadmissibilitymultivariate normal distributionbest affine equivariant estimatorStein's truncated estimatorsymmetric lossunknown means

Mathematics Subject Classification ID

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

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Cites Work

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• Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean
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