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Trimmed minimax estimator of a covariance matrix

โœ Scribed by Dipak K. Dey; C. Srinivasan

Book ID
105591123
Publisher
Springer Japan
Year
1986
Tongue
English
Weight
374 KB
Volume
38
Category
Article
ISSN
0020-3157

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๐Ÿ“œ SIMILAR VOLUMES

Other Classes of Minimax Estimators of V
Other Classes of Minimax Estimators of Variance Covariance Matrix in Multivariate Normal Distribution
โœ Hisayuki Hara ๐Ÿ“‚ Article ๐Ÿ“… 2001 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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