Risk behavior of variance estimators in multivariate normal distribution

Andrew L. Rukhin and Malwane M. A. Ananda

Statistics & Probability Letters, 1992, vol. 13, issue 2, 159-166

Abstract: In this paper we consider the estimation problem of unknown variance of a multivariate normal vector under quadratic loss and entropy loss. The behavior of risk functions of the Brewster--Zidek estimator and the original Stein estimator is examined. Numerical studies show that an asymptotically inadmissible Stein estimator provides a larger degree of improvement than an admissible Brewster--Zidek estimator.

Keywords: Variance; estimation; quadratic; loss; entropy; loss; Brewster--Zidek; estimator; Stein; estimator; confluent; hypergeometric; function (search for similar items in EconPapers)
Date: 1992
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0167-7152(92)90091-I
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:13:y:1992:i:2:p:159-166

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

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 ().