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Improved estimation of a covariance matrix in an elliptically contoured matrix distribution

โœ Scribed by Pui Lam Leung; Foon Yip Ng


Book ID
108392096
Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
130 KB
Volume
88
Category
Article
ISSN
0047-259X

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Robust Improvement in Estimation of a Me
โœ T. Kubokawa; M.S. Srivastava ๐Ÿ“‚ Article ๐Ÿ“… 2001 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 175 KB

In estimation of a matrix of regression coefficients in a multivariate linear regression model, this paper shows that minimax and shrinkage estimators under a normal distribution remain robust under an elliptically contoured distribution. The robustness of the improvement is established for both inv