A new class of improved estimators of a multinormal precision matrix

Dipak K. Dey, Malay Ghosh, C. Srinivasan

Research output: Contribution to journalArticlepeer-review

6 Scopus citations

Abstract

Stein and Haff's technique is used to obtain improved estimators of the multinormal precision matrix under a loss introduced by Efron and Morris (1976). The technique is to obtain solutions to a certain differential inequality involving the eigenvalues of the sample covariance matrix. A new class of improved estimators are obtained by solving the differential inequality.

Original languageEnglish
Pages (from-to)141-152
Number of pages12
JournalStatistics and Risk Modeling
Volume8
Issue number2
DOIs
StatePublished - Feb 1990

Bibliographical note

Funding Information:
by AF0SR Grant Number 89-0225 supported by the NSF Grant Number by NSF EPSC0R Grant, RI1-8610671

Keywords

  • Wishart distribution
  • empirical Bayes estimators
  • matrix means
  • minimax estimators
  • precision matrix

ASJC Scopus subject areas

  • Statistics and Probability
  • Modeling and Simulation
  • Statistics, Probability and Uncertainty

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