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
Link To Document :
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