Sarr, Amadou; Gupta, Arjun K. - In: Journal of Multivariate Analysis 100 (2009) 4, pp. 742-752
In this paper, the problem of estimating the precision matrix of a multivariate Kotz type model is considered. First, using the quadratic loss function, we prove that the unbiased estimator , where denotes the sample sum of product matrix, is dominated by a better constant multiple of , denoted...