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Monotonic Minimax Estimators of a 2×2 Covariance Matrix

✍ Scribed by François Perron


Book ID
115057065
Publisher
John Wiley and Sons
Year
1992
Tongue
French
Weight
410 KB
Volume
20
Category
Article
ISSN
0319-5724

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Other Classes of Minimax Estimators of V
✍ Hisayuki Hara 📂 Article 📅 2001 🏛 Elsevier Science 🌐 English ⚖ 132 KB

It is well known that the best equivariant estimator of the variance covariance matrix of the multivariate normal distribution with respect to the full affine group of transformation is not even minimax. Some minimax estimators have been proposed. Here we treat this problem in the framework of a mul