Improved Estimation of Parameter Matrices in a One-Sample and Two-Sample Problems

被引：0
|
作者：
Pui Lam Leung
Foon Yip Ng
机构：
[1] The Chinese University of Hong Kong,Department of Statistics
来源：
Annals of the Institute of Statistical Mathematics | 2001年 / 53卷
关键词：
Covariance matrix; orthogonally invariant estimator; decision-theoretic estimation; shrinkage estimator; harmonic mean; eigenvalues;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, the problems of estimating the covariance matrix in a Wishart distribution (refer as one-sample problem) and the scale matrix in a multi-variate F distribution (which arise naturally from a two-sample setting) are considered. A new class of estimators which shrink the eigenvalues towards their harmonic mean is proposed. It is shown that the new estimator dominates the best linear estimator under two scale invariant loss functions.
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页码：769 / 780
页数：11
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