A note on the trace of a normal dispersion matrix

Consider the problem of estimating the trace of a normal dispersion matrix under the squared error loss. It is shown that the 'admissible estimator' obtained by Olkin and Selliah (1977) is not admissible in the class of all estimators.

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Year of publication:	1992
Authors:	Guo, Ying (Ingrid) Yueh ; Pal, Nabendu
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 14.1992, 5, p. 349-353
Publisher:	Elsevier
Keywords:	Squared error loss inadmissibility Wishart distribution

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

Persistent link: https://www.econbiz.de/10005319532