Open Access
April 1999 Robust improvement in estimation of a covariance matrix in an elliptically contoured distribution
T. Kubokawa, M. S. Srivastava
Ann. Statist. 27(2): 600-609 (April 1999). DOI: 10.1214/aos/1018031209

Abstract

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.

Citation

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T. Kubokawa. M. S. Srivastava. "Robust improvement in estimation of a covariance matrix in an elliptically contoured distribution." Ann. Statist. 27 (2) 600 - 609, April 1999. https://doi.org/10.1214/aos/1018031209

Information

Published: April 1999
First available in Project Euclid: 5 April 2002

zbMATH: 0942.62063
MathSciNet: MR1714715
Digital Object Identifier: 10.1214/aos/1018031209

Subjects:
Primary: 62H12
Secondary: 62F11

Keywords: Covariance matrix , elliptically contoured distribution , multivariate linear model , robustness of improvement , shrinkage estimation. , statistical decision theory

Rights: Copyright © 1999 Institute of Mathematical Statistics

Vol.27 • No. 2 • April 1999
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