Title of article :
Minimax covariance estimation using commutator subgroup of lower triangular matrices
Author/Authors :
Tsukuma، نويسنده , , Hisayuki، نويسنده ,
Issue Information :
دوفصلنامه با شماره پیاپی سال 2014
Abstract :
This paper deals with the problem of estimating the normal covariance matrix relative to the Stein loss. The main interest concerns a new class of estimators which are invariant under a commutator subgroup of lower triangular matrices. The minimaxity of a James–Stein type invariant estimator under the subgroup is shown by means of a least favorable sequence of prior distributions. The class yields improved estimators on the James–Stein type invariant and minimax estimator.
Keywords :
commutator subgroup , Least favorable prior , Statistical decision theory , Stein’s loss , Wishart distribution , covariance matrix
Journal title :
Journal of Multivariate Analysis
Journal title :
Journal of Multivariate Analysis