Asymptotic risk comparison of improved estimators for normal covariance matrix

DOI10.21099/tkbjm/1496159454zbMath0531.62054OpenAlexW601029971MaRDI QIDQ788430

Nariaki Sugiura, Masahiro Fujimoto

Publication date: 1982

Published in: Tsukuba Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.21099/tkbjm/1496159454

zbMATH Keywords

Wishart distributionminimax estimatorimproved estimatorsempirical Bayes estimatorsasymptotic risk comparisonJames- Stein estimatornormal covariance matrixnumerical comparison of risksunknown scale matrix

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Bayesian inference (62F15)

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On a conjecture of Krishnamoorthy and Gupta ⋮ Entropy loss and risk of improved estimators for the generalized variance and precision ⋮ Asymptotic risk behavior of mean vector and variance estimators and the problem of positive normal mean

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