Article ID Journal Published Year Pages File Type
1149657 Journal of Statistical Planning and Inference 2012 8 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
Authors
, , ,