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Equivariant estimators of the covariance matrix
Author(s) -
Perron François
Publication year - 1990
Publication title -
canadian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.804
H-Index - 51
eISSN - 1708-945X
pISSN - 0319-5724
DOI - 10.2307/3315567
Subject(s) - equivariant map , wishart distribution , estimator , mathematics , multinomial distribution , covariance matrix , matrix (chemical analysis) , statistics , pure mathematics , multivariate statistics , materials science , composite material
Given a Wishart matrix S [ S ∽ W p (n , Σ)] and an independent multinomial vector X [ X ∽ N p (μ, Σ)], equivariant estimators of Σ are proposed. These estimators dominate the best multiple of S and the Stein‐type truncated estimators.
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