Robust improvement in estimation of a covariance matrix in an elliptically contoured distribution

被引：0
|
作者：
Kubokawa, T
Srivastava, MS
机构：
[1] Univ Tokyo, Fac Econ, Tokyo 113, Japan
[2] Univ Toronto, Dept Stat, Toronto, ON M5S 3G3, Canada
来源：
ANNALS OF STATISTICS | 1999年 / 27卷 / 02期
关键词：
elliptically contoured distribution; robustness of improvement; multivariate linear model; covariance matrix; statistical decision theory; shrinkage estimation;
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper derives an extended version of the Haff or, more appropriately, Stein-Haff identity for an elliptically contoured distribution (ECD). This identity is then used to show that the minimax estimators of the covariance matrix obtained under normal models remain robust under the ECD model.
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页码：600 / 609
页数：10
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