Best equivariant estimators of a Cholesky decomposition (Q1094042)

Every positive definite matrix \(\Sigma\) has a unique Cholesky decomposition \(\Sigma =\theta \theta '\), where \(\theta\) is lower triangular with positive diagonal elements. Suppose that S has a Wishart distribution with mean \(n\Sigma\) and that S has the Cholesky decomposition \(S=XX'\). We show, for a variety of loss functions, that XD, where D is diagonal, is a best equivariant estimator of \(\theta\). Explicit expressions for D are provided.