Estimating the covariance matrix: a new
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T. Kubokawa; M.S. Srivastava
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Article
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2003
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Elsevier Science
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English
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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