Inadmissibility of non-order-preserving orthogonally invariant estimators of the covariance matrix in the case of Stein's loss
For orthogonally invariant estimation of [Sigma] of Wishart distribution using Stein's loss, any estimator which does not preserve the order of the sample eigenvalues is dominated by a modified estimator preserving the order.
Year of publication: |
1992
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Authors: | Sheena, Yo ; Takemura, Akimichi |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 41.1992, 1, p. 117-131
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Publisher: |
Elsevier |
Keywords: | Wishart distribution orthogonally invariant estimator Stein's loss inadmissibility order-preserving |
Saved in:
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