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Other Classes of Minimax Estimators of Variance Covariance Matrix in Multivariate Normal Distribution

✍ Scribed by Hisayuki Hara

Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
132 KB
Volume
77
Category
Article
ISSN
0047-259X

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✦ Synopsis

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 multivariate analysis of variance (MANOVA) model and give other classes of minimax estimators.

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