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Size matters: covariance matrix estimation under the alternative

✍ Scribed by Jason Allen

Book ID: 110880068
Publisher: John Wiley and Sons
Year: 2007
Tongue: English
Weight: 256 KB
Volume: 10
Category: Article
ISSN: 1368-4221
DOI: 10.1111/j.1368-423x.2007.00225.x

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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