Hara, Hisayuki - In: Journal of Multivariate Analysis 77 (2001) 2, pp. 175-186
It is well known that the best equivariant estimator of the variance covariance matrix of the multivariate normal distribution with respect to the full affine group of transformation is not even minimax. Some minimax estimators have been proposed. Here we treat this problem in the framework of a...