Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1149657 | Journal of Statistical Planning and Inference | 2012 | 8 Pages |
Abstract
The problem of estimating a covariance matrix is considered in this paper. Using the so-called partial Iwasawa coordinates of the covariance matrix, a new improved estimator dominating the James–Stein estimator is proposed. The results of a simulation study verifies that the new estimator provides a substantial improvement in risk under Stein's loss.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Tiefeng Ma, Lijie Jia, Yingsheng Su,