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A new estimator of covariance matrix

โœ Scribed by Tiefeng Ma; Lijie Jia; Yingsheng Su

Book ID
113757546
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
161 KB
Volume
142
Category
Article
ISSN
0378-3758

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In this paper, we consider the problem of estimating the covariance matrix and the generalized variance when the observations follow a nonsingular multivariate normal distribution with unknown mean. A new method is presented to obtain a truncated estimator that utilizes the information available in