A note on simultaneous estimation of eigenvalues of a multivariate normal covariance matrix

The problem of simultaneous estimation of the eigenvalues of a covariance matrix is considered under a sum of squared errors loss. A new class of estimators which is a generalization of Dey's (1988) class of estimators is given. As an immediate consequence, a new class of estimators of trace of the covariance matrix is obtained.

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Year of publication:	1993
Authors:	Jin, Chun
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 16.1993, 3, p. 197-203
Publisher:	Elsevier
Keywords:	Wishart identity estimation of eigenvalues covariance matrix

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254529