Estimating covariance matrices
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Publication:1175405
DOI10.1214/aos/1176347982zbMath0742.62054MaRDI QIDQ1175405
Publication date: 25 June 1992
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176347982
Monte Carlo study; eigenvalues; covariance matrix; equivariance; principle of invariance; minimax estimation; Wishart matrices; Stein's loss; risk performance; unbiased estimates of risk
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