Article ID Journal Published Year Pages File Type
7549318 Statistics & Probability Letters 2015 10 Pages PDF
Abstract
This paper considers the problem of estimating a covariance matrix under Stein's loss. Sufficient conditions for the modified Efron-Morris estimator to be minimax under weighted quadratic loss are shown, which provide a general method for improving the estimator of the covariance matrix.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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