Estimation of a covariance matrix under Stein's loss

DOI10.1214/aos/1176349756zbMath0582.62042OpenAlexW2071346966MaRDI QIDQ1068488

B. George

Publication date: 1985

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

Full work available at URL: https://doi.org/10.1214/aos/1176349756

zbMATH Keywords

differential inequalityWishart distributionStein's lossimproved estimatorsnormal covariance matrixbest invariant unbiased estimatorseigenvalues of the sample covariance matrixorthogonally invariant estimatorsscale invariant, adaptive minimax estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Point estimation (62F10) Minimax procedures in statistical decision theory (62C20) Statistical decision theory (62C99)

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