Inadmissibility of non-order-preserving orthogonally invariant estimators of the covariance matrix in the case of Stein's loss (Q1186778)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Inadmissibility of non-order-preserving orthogonally invariant estimators of the covariance matrix in the case of Stein's loss |
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Inadmissibility of non-order-preserving orthogonally invariant estimators of the covariance matrix in the case of Stein's loss (English)
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28 June 1992
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To estimate the covariance matrix \(\Sigma\) in the Wishart distribution \(W_ p(k,\Sigma)\) under Stein's loss, it is proved that any orthogonally invariant estimator which does not preserve the order of the sample eigenvalues is dominated by a modified estimator preserving the order.
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order of sample eigenvalues
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inadmissibility
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order-preserving
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covariance matrix
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Wishart distribution
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Stein's loss
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orthogonally invariant estimator
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