Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7549318 | Statistics & Probability Letters | 2015 | 10 Pages |
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
Kai Xu, Daojiang He,