Further results on estimation of covariance matrix

This paper considers the problem of estimating a covariance matrix under Stein’s loss. Sufficient conditions for the modified Efron–Morris estimator to be minimax under weighted quadratic loss are shown, which provide a general method for improving the estimator of the covariance matrix.

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Year of publication:	2015
Authors:	Xu, Kai ; He, Daojiang
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 101.2015, C, p. 11-20
Publisher:	Elsevier
Subject:	Covariance matrix \| Efron–Morris type estimator \| James–Stein estimator \| Partial Iwasawa coordinates \| Weighted quadratic loss \| Stein’s loss

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

Persistent link: https://www.econbiz.de/10011263146