Other Classes of Minimax Estimators of Variance Covariance Matrix in Multivariate Normal Distribution

Hisayuki Hara

Journal of Multivariate Analysis, 2001, vol. 77, issue 2, 175-186

Abstract: It is well known that the best equivariant estimator of the variance covariance matrix of the multivariate normal distribution with respect to the full affine group of transformation is not even minimax. Some minimax estimators have been proposed. Here we treat this problem in the framework of a multivariate analysis of variance (MANOVA) model and give other classes of minimax estimators.

Keywords: conditional risk difference; entropy loss; inadmissibility; MANOVA; minimax estimation; Wishart matrix (search for similar items in EconPapers)
Date: 2001
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