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Equivariant estimators of the covariance matrix. (English) Zbl 0702.62048
Summary: Given a Wishart matrix S \([S\sim W_ p(n,\Sigma)]\) and an independent multinormal vector X \([X\sim N_ p(\mu,\Sigma)]\), equivariant estimators of \(\Sigma\) are proposed. These estimators dominate the best multiple of S and the Stein-type truncated estimators.

62H12 Estimation in multivariate analysis
62A01 Foundations and philosophical topics in statistics
62C15 Admissibility in statistical decision theory
Full Text: DOI
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