Other Classes of Minimax Estimators of Variance Covariance Matrix in Multivariate Normal Distribution

It is well known that the best equivariant estimator of the variance covariance matrix of the multivariate normal distribution with respect to the full affine group of transformation is not even minimax. Some minimax estimators have been proposed. Here we treat this problem in the framework of a multivariate analysis of variance (MANOVA) model and give other classes of minimax estimators.

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Year of publication:	2001
Authors:	Hara, Hisayuki
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 77.2001, 2, p. 175-186
Publisher:	Elsevier
Subject:	conditional risk difference \| entropy loss \| inadmissibility \| MANOVA \| minimax estimation \| Wishart matrix

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005160476