Rank of a quadratic form in an elliptically contoured matrix random variable

Robust Improvement in Estimation of a Me

Robust Improvement in Estimation of a Mean Matrix in an Elliptically Contoured Distribution

✍ T. Kubokawa; M.S. Srivastava 📂 Article 📅 2001 🏛 Elsevier Science 🌐 English ⚖ 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