Estimation of scale matrix of elliptically contoured matrix distributions

Runze Li; Kai Tai Fang

doi:10.1016/0167-7152(94)00186-C

Estimation of scale matrix of elliptically contoured matrix distributions

Runze Li, Kai Tai Fang

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

In this paper, the problem of estimation of scale matrix is considered under entropy loss, quadratic loss and squared error loss. With respect to entropy and quadratic loss, we obtain the best estimator of Σ having the form αS_x as well as having the form T_xΔT_x′, where S_x, T_x and Δ are given in the text, and obtain the minimax estimator of Σ and the best equivariant estimator of Σ with respect to the triangular transformations group. With respect to the squared error loss, we generalize the result of Dey and Srinivasan (1992).

Original language	English (US)
Pages (from-to)	289-297
Number of pages	9
Journal	Statistics and Probability Letters
Volume	24
Issue number	4
DOIs	https://doi.org/10.1016/0167-7152(94)00186-C
State	Published - Sep 1995

All Science Journal Classification (ASJC) codes

Statistics and Probability
Statistics, Probability and Uncertainty

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10.1016/0167-7152(94)00186-C

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AB - In this paper, the problem of estimation of scale matrix is considered under entropy loss, quadratic loss and squared error loss. With respect to entropy and quadratic loss, we obtain the best estimator of Σ having the form αSx as well as having the form TxΔTx′, where Sx, Tx and Δ are given in the text, and obtain the minimax estimator of Σ and the best equivariant estimator of Σ with respect to the triangular transformations group. With respect to the squared error loss, we generalize the result of Dey and Srinivasan (1992).

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ER -

Estimation of scale matrix of elliptically contoured matrix distributions

Abstract

All Science Journal Classification (ASJC) codes

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