Improved estimation of a covariance matrix under quadratic loss

Tatsuya Kubokawa

Statistics & Probability Letters, 1989, vol. 8, issue 1, 69-71

Abstract: For the quadratic loss function, it is shown that the best affine equivariant estimator of the normal covariance matrix is improved on by Stein-type estimators.

Keywords: covariance; matrix; best; equivariant; estimator; inadmissibility; quadratic; loss (search for similar items in EconPapers)
Date: 1989
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