Improved estimation of a multinormal precision matrix

Dipak K. Dey

Statistics & Probability Letters, 1987, vol. 6, issue 2, 125-128

Abstract: Stein's technique is used to obtain improved estimators of the multinormal precision matrix under quadratic loss. The technique is to obtain a certain differential inequality involving the eigenvalues of the sample covariance matrix. Several improved estimators are obtained by solving the differential inequality.

Keywords: covariance; matrix; precision; matrix; Wishart; distribution; orthogonal; equivariant; estimators (search for similar items in EconPapers)
Date: 1987
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Citations: View citations in EconPapers (9)

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