Improved estimation of a covariance matrix under quadratic loss

DOI10.1016/0167-7152(89)90086-2zbMath0667.62040MaRDI 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 function; best affine equivariant estimator; Stein-type estimators; normal covariance matrix; inadmissiblity

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62C99: Statistical decision theory

62C15: Admissibility in statistical decision theory

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Estimating the normal dispersion matrix and the precision matrix from a decision-theoretic point of view: a review, Improved estimation of the covariance matrix and the generalized variance of a multivariate normal distribution: some unifying results, 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, Equivariant estimators of the covariance matrix

Cites Work

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• 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