Further results on estimation of covariance matrix

DOI10.1016/j.spl.2015.02.022zbMath1327.62351OpenAlexW2031870038MaRDI QIDQ893900

Kai Xu, Dao-Jiang He

Publication date: 23 November 2015

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

Full work available at URL: https://doi.org/10.1016/j.spl.2015.02.022

zbMATH Keywords

James-Stein estimatorcovariance matrixStein's losspartial Iwasawa coordinatesEfron-Morris type estimatorweighted quadratic loss

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Point estimation (62F10)

Related Items (2)

The Bayes rule of the parameter in (0,1) under Zhang’s loss function with an application to the beta-binomial model ⋮ A new estimator of covariance matrix via partial Iwasawa coordinates

Cites Work

• A new estimator of covariance matrix
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