In this paper, the problem of estimating the covariance matrix of the elliptically contoured distribution (ECD) is considered. A new class of estimators which shrink the eigenvalues towards their arithmetic mean is proposed. It is shown that this new estimator dominates the unbiased estimator...

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...