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Estimation of the multivariate normal covariance matrix under some restrictions
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Yo Sheena
Published/Copyright:
September 25, 2009
Abstract
We consider the estimation of Σ of the p-dimensional normal distribution Np(0,Σ) under the restriction where the eigenvalues of Σ have an upper or lower bound. From a decision-theoretic point of view, we evaluate the performance of the REML (restricted maximum likelihood estimator) with Stein′s loss function and propose another estimator that dominates the REML.
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Published Online: 2009-09-25
Published in Print: 2003-04-01
© 2003 Oldenbourg Wissenschaftsverlag GmbH
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- Which power of goodness of fit tests can really be expected: intermediate versus contiguous alternatives
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Articles in the same Issue
- Which power of goodness of fit tests can really be expected: intermediate versus contiguous alternatives
- Estimation of the multivariate normal covariance matrix under some restrictions
- Jump-preserving monitoring of dependent time series using pilot estimators
- Improved estimation of medians subject to order restrictions in unimodal symmetric families
