A unified approach for covariance matrix estimation under Stein loss
Statistics Theory
2021-03-23 v1 Other Statistics
Statistics Theory
Abstract
In this paper, we address the problem of estimating a covariance matrix of a multivariate Gaussian distribution, relative to a Stein loss function, from a decision theoretic point of view. We investigate the case where the covariance matrix is invertible and the case when it is non--invertible in a unified approach.
Cite
@article{arxiv.2103.11147,
title = {A unified approach for covariance matrix estimation under Stein loss},
author = {Anis M. Haddouche and Wei Lu},
journal= {arXiv preprint arXiv:2103.11147},
year = {2021}
}