Improving on the sample covariance matrix for a complex elliptically contoured distribution |
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Authors: | Yoshihiko Konno |
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Institution: | Faculty of Science, Japan Women''s University, 2-8-1 Mejirodai, Bunkyo-ku, Tokyo 112-8691, Japan |
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Abstract: | In this paper the problem of estimating the scale matrix in a complex elliptically contoured distribution (complex ECD) is addressed. An extended Haff–Stein identity for this model is derived. It is shown that the minimax estimators of the covariance matrix obtained under the complex normal model remain robust under the complex ECD model when the Stein loss function is employed. |
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Keywords: | Primary: 62H12 secondary: 62F10 |
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