Further results on estimation of covariance matrix

doi:10.1016/j.spl.2015.02.022

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	Further results on estimation of covariance matrix
	Xu, Kai 1; He, Daojiang 2
刊名	STATISTICS & PROBABILITY LETTERS
	2015-06
卷号	101 页码:11-20
关键词	Covariance matrix Efron-Morris type estimator James-Stein estimator Partial lwasawa coordinates Weighted quadratic loss Stein's loss
ISSN号	0167-7152
DOI	10.1016/j.spl.2015.02.022
英文摘要	This paper considers the problem of estimating a covariance matrix under Stein's loss. Sufficient conditions for the modified Efron-Morris estimator to be minimax under weighted quadratic loss are shown, which provide a general method for improving the estimator of the covariance matrix. (C) 2015 Elsevier B.V. All rights reserved.
WOS研究方向	Mathematics
语种	英语
出版者	ELSEVIER SCIENCE BV
WOS记录号	WOS:000353854700002
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1537]
专题	上海财经大学
通讯作者	Xu, Kai
作者单位	1.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai 200433, Peoples R China; 2.Anhui Normal Univ, Sch Math & Comp Sci, Wuhu 241003, Peoples R China
推荐引用方式 GB/T 7714	Xu, Kai,He, Daojiang. Further results on estimation of covariance matrix[J]. STATISTICS & PROBABILITY LETTERS,2015,101:11-20.
APA	Xu, Kai,&He, Daojiang.(2015).Further results on estimation of covariance matrix.STATISTICS & PROBABILITY LETTERS,101,11-20.
MLA	Xu, Kai,et al."Further results on estimation of covariance matrix".STATISTICS & PROBABILITY LETTERS 101(2015):11-20.