Kubokawa, Tatsuya; Srivastava, Muni S. - In: Journal of Multivariate Analysis 99 (2008) 9, pp. 1906-1928
In this article, the Stein-Haff identity is established for a singular Wishart distribution with a positive definite mean matrix but with the dimension larger than the degrees of freedom. This identity is then used to obtain estimators of the precision matrix improving on the estimator based on...