Estimation of the multivariate normal covariance matrix under some restrictions

Abstract We consider the estimation of Σ of the p -dimensional normal distribution N p (0, Σ ) under the restriction where the eigenvalues of Σ have an upper or lower bound. From a decision-theoretic point of view, we evaluate the performance of the REML (restricted maximum likelihood estimator) with Stein′s loss function and propose another estimator that dominates the REML.

MoreLess

Year of publication:	2003
Authors:	Sheena, Yo ; Gupta, Arjun K.
Published in:	Statistics & Decisions. - Oldenbourg Wissenschaftsverlag GmbH, ISSN 2196-7040, ZDB-ID 2630803-4. - Vol. 21.2003, 4, p. 327-342
Publisher:	Oldenbourg Wissenschaftsverlag GmbH

More details

Type of publication:	Article
Language:	Undetermined
Other identifiers:	10.1524/stnd.21.4.327.25349 [DOI]
Source:	Other ZBW resources

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014621424