Inadmissibility of non-order-preserving orthogonally invariant estimators of the covariance matrix in the case of Stein's loss

Yo Sheena and Akimichi Takemura

Journal of Multivariate Analysis, 1992, vol. 41, issue 1, 117-131

Abstract: For orthogonally invariant estimation of [Sigma] of Wishart distribution using Stein's loss, any estimator which does not preserve the order of the sample eigenvalues is dominated by a modified estimator preserving the order.

Keywords: Wishart; distribution; orthogonally; invariant; estimator; Stein's; loss; inadmissibility; order-preserving (search for similar items in EconPapers)
Date: 1992
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Citations: View citations in EconPapers (19)

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