A new estimator of covariance matrix |
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| Authors: | Tiefeng Ma Lijie JiaYingsheng Su |
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| Affiliation: | a Statistics School, Southwestern University of Finance and Economics, Chengdu 610074, China
b School of Management, Tianjin University, Tianjin 300072, China |
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| Abstract: | The problem of estimating a covariance matrix is considered in this paper. Using the so-called partial Iwasawa coordinates of the covariance matrix, a new improved estimator dominating the James-Stein estimator is proposed. The results of a simulation study verifies that the new estimator provides a substantial improvement in risk under Stein's loss. |
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| Keywords: | Covariance matrix Partial Iwasawa coordinates Stein's loss |
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