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Estimating the covariance matrix and the generalized variance under a symmetric loss |
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| Authors: | Tatsuya Kubokawa Yoshihiko Konno |
| Institution: | (1) Institute of Mathematics, University of Tsukuba, 305 Tsukuba, Ibaraki, Japan;(2) Present address: Department of Mathematical Engineering and Information Physics, Faculty of Engineering, University of Tokyo, Bunkyo-ku, 113 Tokyo, Japan |
| Abstract: | For estimating the power of a generalized variance under a multivariate normal distribution with unknown means, the inadmissibility of the best affine equivariant estimator relative to the symmetric loss is shown, and a class of improved estimators is given. The problem of estimating the covariance matrix is also discussed. |
| Keywords: | Covariance matrix generalized variance Wishart distribution affine equivariant estimators Stein's truncated estimator inadmissibility |
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