Estimation of the eigenvalues of \(\Sigma{}_ 1\Sigma{}_ 2^{-1}\) (Q1186768): Difference between revisions

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Latest revision as of 17:11, 15 May 2024

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Estimation of the eigenvalues of \(\Sigma{}_ 1\Sigma{}_ 2^{-1}\)
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    Estimation of the eigenvalues of \(\Sigma{}_ 1\Sigma{}_ 2^{-1}\) (English)
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    28 June 1992
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    independent Wishart matrices
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    loss function
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    multivariate \(F\)- distribution
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    unbiased risk estimator
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    eigenvalue estimation
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    normal two- sample problem
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    invariant test
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    hypothesis of the equality of population covariance matrices
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    power function
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    eigenvalues
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    orthogonally invariant minimax estimator
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    estimated eigenvalues
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    risk reduction
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