Improved estimation of a multinormal precision matrix (Q1093286)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Improved estimation of a multinormal precision matrix |
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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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