An identity for the noncentral wishart distribution with application

This paper generalizes an identity for the Wishart distribution (derived independently by C. Stein and L. Haff) to the noncentral Wishart distribution. As an application of this noncentral Wishart identity, we consider the problem of estimating the noncentrality matrix of a noncentral Wishart distribution. This noncentral Wishart identity is used to develop a class of orthogonally invariant estimators which dominate the usual unbiased estimator.

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Year of publication:	1994
Authors:	Leung, Pui Lam
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 48.1994, 1, p. 107-114
Publisher:	Elsevier
Keywords:	Wishart identity noncentral Wishart identity noncentrality matrix decision-theoretic estimation

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

Persistent link: https://www.econbiz.de/10005093894