Estimation of normal covariance matrices parametrized by irreducible symmetric cones under Stein's loss
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References listed on IDEAS
- Shaman, Paul, 1980. "The inverted complex Wishart distribution and its application to spectral estimation," Journal of Multivariate Analysis, Elsevier, vol. 10(1), pages 51-59, March.
- Sheena, Yo & Takemura, Akimichi, 1992. "Inadmissibility of non-order-preserving orthogonally invariant estimators of the covariance matrix in the case of Stein's loss," Journal of Multivariate Analysis, Elsevier, vol. 41(1), pages 117-131, April.
- Andersson, Steen A. & Perlman, Michael D., 1984. "Two testing problems relating the real and complex multivariate normal distributions," Journal of Multivariate Analysis, Elsevier, vol. 15(1), pages 21-51, August.
- Perron, F., 1992. "Minimax estimators of a covariance matrix," Journal of Multivariate Analysis, Elsevier, vol. 43(1), pages 16-28, October.
More about this item
KeywordsMinimax Stein estimator Generalized Wishart distribution Bartlett decomposition Unbiased risk estimate Jordan algebras;
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