Further results on estimation of covariance matrix

Kai Xu and Daojiang He

Statistics & Probability Letters, 2015, vol. 101, issue C, 11-20

Abstract: This paper considers the problem of estimating a covariance matrix under Stein’s loss. Sufficient conditions for the modified Efron–Morris estimator to be minimax under weighted quadratic loss are shown, which provide a general method for improving the estimator of the covariance matrix.

Keywords: Covariance matrix; Efron–Morris type estimator; James–Stein estimator; Partial Iwasawa coordinates; Weighted quadratic loss; Stein’s loss (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715215000796
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:stapro:v:101:y:2015:i:c:p:11-20

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

DOI: 10.1016/j.spl.2015.02.022

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().