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Equivariant estimators of the covariance matrix |
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| Authors: | Fran ois Perron |
| Affiliation: | François Perron |
| Abstract: | Given a Wishart matrix S [S ∽ Wp(n, Σ)] and an independent multinomial vector X [X ∽ Np (μ, Σ)], equivariant estimators of Σ are proposed. These estimators dominate the best multiple of S and the Stein-type truncated estimators. |
| Keywords: | Dominate equivariant estimator group of transformations maximal invariant Stein-type truncated estimator |