Improved estimation of a multinormal precision matrix (Q1093286)
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scientific article; zbMATH DE number 4022396
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| English | Improved estimation of a multinormal precision matrix |
scientific article; zbMATH DE number 4022396 |
Statements
Improved estimation of a multinormal precision matrix (English)
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1987
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Stein's technique is used to obtain improved estimators of the multinormal precision matrix under quadratic loss. The technique is to obtain a certain differential inequality involving the eigenvalues of the sample covariance matrix. Several improved estimators are obtained by solving the differential inequality.
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Wishart distribution
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orthogonal equivariant estimators
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multinormal precision matrix
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quadratic loss
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differential inequality
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eigenvalues
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sample covariance matrix
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improved estimators
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0.8598077893257141
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0.8452925086021423
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0.8395271897315979
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0.8202983736991882
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