Improved estimation of a covariance matrix under quadratic loss

DOI10.1016/0167-7152(89)90086-2zbMath0667.62040OpenAlexW2005930895MaRDI QIDQ1117642

Tatsuya Kubokawa

Publication date: 1989

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(89)90086-2

zbMATH Keywords

quadratic loss functionbest affine equivariant estimatorStein-type estimatorsnormal covariance matrixinadmissiblity

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Statistical decision theory (62C99) Admissibility in statistical decision theory (62C15)

Related Items (6)

Improved estimation of the covariance matrix and the generalized variance of a multivariate normal distribution: some unifying results ⋮ Equivariant estimators of the covariance matrix ⋮ Optimal shrinkage of eigenvalues in the spiked covariance model ⋮ Improved minimax estimation of the bivariate normal precision matrix under the squared loss ⋮ Estimation of the variance in a normal population after the one-sided pre-test for the mean ⋮ Estimating the normal dispersion matrix and the precision matrix from a decision-theoretic point of view: a review

Cites Work

• Unnamed Item
• An identity for the Wishart distribution with applications
• An improved estimator of the generalized variance
• Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean

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