Best Equivariant Estimators of a Cholesky Decomposition

Abstract

Every positive definite matrix $\Sigma$ has a unique Cholesky decomposition $\Sigma = \theta\theta'$, where $\theta$ is lower triangular with positive diagonal elements. Suppose that $S$ has a Wishart distribution with mean $n\Sigma$ and that $S$ has the Cholesky decomposition $S = XX'$. We show, for a variety of loss functions, that $XD$, where $D$ is diagonal, is a best equivariant estimator of $\theta$. Explicit expressions for $D$ are provided.