Estimation of a covariance matrix under Stein's loss
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Publication:1068488
DOI10.1214/aos/1176349756zbMath0582.62042OpenAlexW2071346966MaRDI QIDQ1068488
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
differential inequalityWishart distributionStein's lossimproved estimatorsnormal covariance matrixbest invariant unbiased estimatorseigenvalues of the sample covariance matrixorthogonally invariant estimatorsscale invariant, adaptive minimax estimator
Estimation in multivariate analysis (62H12) Point estimation (62F10) Minimax procedures in statistical decision theory (62C20) Statistical decision theory (62C99)
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