An Improved Estimator of the Generalized Variance
Shorrock, R. W. ; Zidek, J. V.
Ann. Statist., Tome 4 (1976) no. 1, p. 629-638 / Harvested from Project Euclid
A multivariate extension is made of Stein's result (1964) on the estimation of the normal variance. Here the generalized variance $|\Sigma|$ is being estimated from a Wishart random matrix $S: p \times p \sim W(n, \Sigma)$ and an independent normal random matrix $X: p \times k \sim N(\xi, \Sigma \otimes 1_k)$ with $\xi$ unknown. The main result is that the minimax, best affine equivariant estimator $((n + 2 - p)!/(n + 2)!)|S|$ is dominated by $\min\{((n + 2 - p)!/(n + 2)!)|S|, ((n + k + 2 - p)!/(n + k + 2)!)|S + XX'|\}$. It is obtained by a variant of Stein's method which exploits zonal polynomials.
Publié le : 1976-05-14
Classification:  Equivariant,  multivariate normal matrix,  noncentral Wishart matrix,  zonal polynomials,  62F10,  62H99
@article{1176343470,
     author = {Shorrock, R. W. and Zidek, J. V.},
     title = {An Improved Estimator of the Generalized Variance},
     journal = {Ann. Statist.},
     volume = {4},
     number = {1},
     year = {1976},
     pages = { 629-638},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176343470}
}
Shorrock, R. W.; Zidek, J. V. An Improved Estimator of the Generalized Variance. Ann. Statist., Tome 4 (1976) no. 1, pp.  629-638. http://gdmltest.u-ga.fr/item/1176343470/