Estimation of the Multivariate Normal Precision Matrix under the Entropy Loss

Xian Zhou (), Xiaoqian Sun and Jinglong Wang

Annals of the Institute of Statistical Mathematics, 2001, vol. 53, issue 4, 760-768

Keywords: Best lower-triangular equivariant minimax estimator; precision matrix; inadmissibility; multivariate normal distribution; risk function; the entropy loss (search for similar items in EconPapers)
Date: 2001
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DOI: 10.1023/A:1014657020370

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