CIRJE-F-162 | "Estimating the Covariance Matrix: A New Approach" |
Author Name | Kubokawa, Tatsuya and M. S. Srivastava |
Date | July 2002 |
Full Paper | PDF file@ |
Remarks | Revised version of CIRJE-F-52 (1999); subsequently published in Journal of Multivariate Analysis, 2003, vol.86, pp.28-47. |
Abstract |
In this paper, we consider the problem of estimating the covariance matrix and the generalized variance when the observations follow a nonsingular multivariate normal distribution with unknown mean. A new method is presented to obtain a truncated estimator that utilizes the information available in the sample mean matrix and dominates the James-Stein minimax estimator. Several scale equivariant minimax estimators are also given. This method is then applied to obtain new truncated and improved estimators of the generalized variance; it also provides a new proof to the results of Shorro k and Zidek (1976)and Sinha (1976). |