In estimation of the normal covariance matrix, finding a least favorable sequence of prior distributions has been an open question for a long time. This paper addresses the classical problem and accomplishes the specification of such a sequence, which establishes minimaxity of the best...

This paper deals with the problem of estimating the normal covariance matrix relative to the Stein loss. The main interest concerns a new class of estimators which are invariant under a commutator subgroup of lower triangular matrices. The minimaxity of a James–Stein type invariant estimator...