A new estimator of covariance matrix via partial Iwasawa coordinates
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Publication:1697678
DOI10.1007/s11424-017-6007-xzbMath1380.93250MaRDI QIDQ1697678
Publication date: 20 February 2018
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-017-6007-x
James-Stein estimator; covariance matrix; Stein's loss; partial Iwasawa coordinates; weighted quadratic loss