Estimation of the multivariate normal covariance matrix under some restrictions

Sheena Yo and Gupta Arjun K.

Statistics & Risk Modeling, 2003, vol. 21, issue 4, 327-342

Abstract: We consider the estimation of Σ of the p-dimensional normal distribution Np(0,Σ) under the restriction where the eigenvalues of Σ have an upper or lower bound. From a decision-theoretic point of view, we evaluate the performance of the REML (restricted maximum likelihood estimator) with Stein′s loss function and propose another estimator that dominates the REML.

Date: 2003
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DOI: 10.1524/stnd.21.4.327.25349

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