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December, 1985 Estimation of a Covariance Matrix under Stein's Loss
Dipak K. Dey, C. Srinivasan
Ann. Statist. 13(4): 1581-1591 (December, 1985). DOI: 10.1214/aos/1176349756

Abstract

Stein's general technique for improving upon the best invariant unbiased and minimax estimators of the normal covariance matrix is described. The technique is to obtain solutions to a certain differential inequality involving the eigenvalues of the sample covariance matrix. Several improved estimators are obtained by solving the differential inequality. These estimators shrink or expand the sample eigenvalues depending on their magnitude. A scale invariant, adaptive minimax estimator is also obtained.

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Dipak K. Dey. C. Srinivasan. "Estimation of a Covariance Matrix under Stein's Loss." Ann. Statist. 13 (4) 1581 - 1591, December, 1985. https://doi.org/10.1214/aos/1176349756

Information

Published: December, 1985
First available in Project Euclid: 12 April 2007

zbMATH: 0582.62042
MathSciNet: MR811511
Digital Object Identifier: 10.1214/aos/1176349756

Subjects:
Primary: 62F10
Secondary: 62C99

Rights: Copyright © 1985 Institute of Mathematical Statistics

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Vol.13 • No. 4 • December, 1985
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