The Annals of Statistics

An Improved Estimator of the Generalized Variance

R. W. Shorrock and J. V. Zidek

Full-text: Open access

Abstract

A multivariate extension is made of Stein's result (1964) on the estimation of the normal variance. Here the generalized variance $|\Sigma|$ is being estimated from a Wishart random matrix $S: p \times p \sim W(n, \Sigma)$ and an independent normal random matrix $X: p \times k \sim N(\xi, \Sigma \otimes 1_k)$ with $\xi$ unknown. The main result is that the minimax, best affine equivariant estimator $((n + 2 - p)!/(n + 2)!)|S|$ is dominated by $\min\{((n + 2 - p)!/(n + 2)!)|S|, ((n + k + 2 - p)!/(n + k + 2)!)|S + XX'|\}$. It is obtained by a variant of Stein's method which exploits zonal polynomials.

Article information

Source
Ann. Statist., Volume 4, Number 3 (1976), 629-638.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176343470

Digital Object Identifier
doi:10.1214/aos/1176343470

Mathematical Reviews number (MathSciNet)
MR411034

Zentralblatt MATH identifier
0353.62039

JSTOR
links.jstor.org

Subjects
Primary: 62F10: Point estimation
Secondary: 62H99: None of the above, but in this section

Keywords
Equivariant multivariate normal matrix noncentral Wishart matrix zonal polynomials

Citation

Shorrock, R. W.; Zidek, J. V. An Improved Estimator of the Generalized Variance. Ann. Statist. 4 (1976), no. 3, 629--638. doi:10.1214/aos/1176343470. https://projecteuclid.org/euclid.aos/1176343470


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