Li, Run-Ze; Fang, Kai-Tai - In: Statistics & Probability Letters 24 (1995) 4, pp. 289-297
In this paper, the problem of estimation of scale matrix is considered under entropy loss, quadratic loss and squared error loss. With respect to entropy and quadratic loss, we obtain the best estimator of [Sigma] having the form [alpha]Sx as well as having the form Tx[Delta]Tx', where Sx, Tx...