Estimating covariance matrices

DOI10.1214/aos/1176347982zbMath0742.62054OpenAlexW2019055458MaRDI QIDQ1175405

Wei-Liem Loh

Publication date: 25 June 1992

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176347982

zbMATH Keywords

Monte Carlo studyeigenvaluescovariance matrixequivarianceprinciple of invarianceminimax estimationWishart matricesStein's lossrisk performanceunbiased estimates of risk

Mathematics Subject Classification ID

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

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