Title of article
A new estimator of covariance matrix
Author/Authors
Ma، نويسنده , , Tiefeng and Jia، نويسنده , , Lijie and Su، نويسنده , , Yingsheng، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2012
Pages
8
From page
529
To page
536
Abstract
The problem of estimating a covariance matrix is considered in this paper. Using the so-called partial Iwasawa coordinates of the covariance matrix, a new improved estimator dominating the James–Stein estimator is proposed. The results of a simulation study verifies that the new estimator provides a substantial improvement in risk under Steinʹs loss.
Keywords
covariance matrix , Partial Iwasawa coordinates , Steinיs loss
Journal title
Journal of Statistical Planning and Inference
Serial Year
2012
Journal title
Journal of Statistical Planning and Inference
Record number
2221762
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