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
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
Journal title :
Journal of Statistical Planning and Inference