An identity for the noncentral wishart distribution with application

Pui Lam Leung

Journal of Multivariate Analysis, 1994, vol. 48, issue 1, 107-114

Abstract: This paper generalizes an identity for the Wishart distribution (derived independently by C. Stein and L. Haff) to the noncentral Wishart distribution. As an application of this noncentral Wishart identity, we consider the problem of estimating the noncentrality matrix of a noncentral Wishart distribution. This noncentral Wishart identity is used to develop a class of orthogonally invariant estimators which dominate the usual unbiased estimator.

Keywords: Wishart; identity; noncentral; Wishart; identity; noncentrality; matrix; decision-theoretic; estimation (search for similar items in EconPapers)
Date: 1994
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