Estimating the Covariance Matrix: A New Approach
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References listed on IDEAS
- 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.
- Sinha, Bimal Kumar, 1976. "On improved estimators of the generalized variance," Journal of Multivariate Analysis, Elsevier, vol. 6(4), pages 617-625, December.
- M. S. Srivastava & Tatsuya Kubokawa, 1999. "Improved Nonnegative Estimation of Multivariate Components of Variance," CIRJE F-Series CIRJE-F-38, CIRJE, Faculty of Economics, University of Tokyo.
- Perron, F., 1992. "Minimax estimators of a covariance matrix," Journal of Multivariate Analysis, Elsevier, vol. 43(1), pages 16-28, October.
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