✦ LIBER ✦

Stein-type improvements of confidence intervals for the generalized variance

✍ Scribed by Sanat K. Sarkar

Publisher: Springer Japan
Year: 1991
Tongue: English
Weight: 322 KB
Volume: 43
Category: Article
ISSN: 0020-3157
DOI: 10.1007/bf00118642

No coin nor oath required. For personal study only.

✦ Synopsis

Based on independent random matices X: p x m and S: p x p distributed, respectively, as Npm(#, E ® I,~) and Wp(n, ~) with # unknown and n > p, the problem of obtaining confidence interval for IEI is considered. Stein's idea of improving the best affine equivariant point estimator of IE[ has been adapted to the interval estimation problem. It is shown that an interval estimator of the form ISl(b -1, a -I) can be improved by min{ISI, clS + XX'I}(b -1, a -1) for a certain constant c depending on (a, b).

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