Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1150092 | Journal of Statistical Planning and Inference | 2007 | 12 Pages |
Abstract
In this paper the problem of estimating the scale matrix in a complex elliptically contoured distribution (complex ECD) is addressed. An extended Haff–Stein identity for this model is derived. It is shown that the minimax estimators of the covariance matrix obtained under the complex normal model remain robust under the complex ECD model when the Stein loss function is employed.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Yoshihiko Konno,