Minimax covariance estimation using commutator subgroup of lower triangular matrices

Hisayuki Tsukuma

Journal of Multivariate Analysis, 2014, vol. 124, issue C, 333-344

Abstract: This paper deals with the problem of estimating the normal covariance matrix relative to the Stein loss. The main interest concerns a new class of estimators which are invariant under a commutator subgroup of lower triangular matrices. The minimaxity of a James–Stein type invariant estimator under the subgroup is shown by means of a least favorable sequence of prior distributions. The class yields improved estimators on the James–Stein type invariant and minimax estimator.

Keywords: Commutator subgroup; Covariance matrix; Least favorable prior; Statistical decision theory; Stein’s loss; Wishart distribution (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.jmva.2013.11.007

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