A note on simultaneous estimation of eigenvalues of a multivariate normal covariance matrix

Chun Jin

Statistics & Probability Letters, 1993, vol. 16, issue 3, 197-203

Abstract: The problem of simultaneous estimation of the eigenvalues of a covariance matrix is considered under a sum of squared errors loss. A new class of estimators which is a generalization of Dey's (1988) class of estimators is given. As an immediate consequence, a new class of estimators of trace of the covariance matrix is obtained.

Keywords: Wishart; identity; estimation; of; eigenvalues; covariance; matrix (search for similar items in EconPapers)
Date: 1993
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