Admissible estimator of the eigenvalues of the variance-covariance matrix for multivariate normal distributions

DOI10.1016/j.jmva.2010.12.007zbMath1327.62052arXiv0908.1701MaRDI QIDQ632753

Akimichi Takemura, Yo Sheena

Publication date: 25 March 2011

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.1701

zbMATH Keywords

covariance matrix; squared error loss; Wishart distribution; Karlin's method

Mathematics Subject Classification ID

62F10: Point estimation

62C15: Admissibility in statistical decision theory

Related Items

Admissible estimator of the eigenvalues of the variance-covariance matrix for multivariate normal distributions, The structure of autocovariance matrix of discrete time subfractional Brownian motion, Inference on the eigenvalues of the covariance matrix of a multivariate normal distribution -- geometrical view

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