Monotonic minimax estimators of a 2×2 covariance matrix

DOI10.2307/3315613zbMath0765.62058OpenAlexW2032634161MaRDI QIDQ4036393

François Perron

Publication date: 16 May 1993

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3315613

zbMATH Keywords

groupscovariance matrixentropy lossminimax estimatorsmonotonicity propertynonsingular Wishart distributionorthogonally invariant estimatorsbivariate normal populationcomparisons with Stein estimators

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Foundations and philosophical topics in statistics (62A01) Admissibility in statistical decision theory (62C15)

Related Items (1)

Improved nonnegative estimation of multivariate components of variance

Cites Work

• An orthogonally invariant minimax estimator of the covariance matrix of a multivariate normal population
• The variational form of certain Bayes estimators
• Inadmissibility of non-order-preserving orthogonally invariant estimators of the covariance matrix in the case of Stein's loss
• Minimax estimators of a covariance matrix
• Families of minimax estimators of the mean of a multivariate normal distribution
• Orthogonal Equivariant Minimax Estimatorsof Bivariate Normal Covariance Matrix and Precision Matrix

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