Admissible estimator of the eigenvalues of the variance-covariance matrix for multivariate normal distributions

Yo Sheena and Akimichi Takemura

Journal of Multivariate Analysis, 2011, vol. 102, issue 4, 801-815

Abstract: An admissible estimator of the eigenvalues of the variance-covariance matrix is given for multivariate normal distributions with respect to the scale-invariant squared error loss.

Keywords: Covariance; matrix; Wishart; distribution; Squared; error; loss; Karlin's; method (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047-259X(10)00247-2
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:102:y:2011:i:4:p:801-815

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().