Comparison of Estimators of Dispersion Matrix
DOI : 10.3844/jmssp.2008.145.147
Journal of Mathematics and Statistics
Volume 4, Issue 3
Based on a sample, we considered the problem of estimating the dispersion matrix of a multivariate normal distribution with variance covariance matrix Σ. Empirical Bayes estimators and Haff estimators with their conditions, two proposed estimators of Σ, were the best affine equivariant estimators of dispersion matrix, which we compared them by three different loss functions.
© 2008 Narges Abbasi. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.