Estimation of a Multivariate Normal Covariance Matrix with Staircase Pattern Data

Xiaoqian Sun () and Dongchu Sun

Annals of the Institute of Statistical Mathematics, 2007, vol. 59, issue 2, 233 pages

Keywords: Maximum likelihood estimator; Best equivariant estimator; Covariance matrix; Staircase pattern data; Invariant Haar measure; Cholesky decomposition; Bartlett decomposition; Inadmissibility; Jeffreys prior; Reference prior (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s10463-006-0044-x

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