Estimating Covariance Matrices
Loh, Wei-Liem
Ann. Statist., Tome 19 (1991) no. 1, p. 283-296 / Harvested from Project Euclid
Let $S_1$ and $S_2$ be two independent $p \times p$ Wishart matrices with $S_1 \sim W_p(\sum_1, n_1)$ and $S_2 \sim W_p(\sum_2, n_2)$. We wish to estimate $(\sum_1, \sum_2)$ under the loss function $L(\hat{\sum}_1, \hat{\sum}_2; \sum_1, \sum_2) = \sum_i\{\operatorname{tr}(\sum^{-1}_i \hat{\sum}_i) - \log|\sum^{-1}_i\hat{\sum}_i| - p\}$. Our approach is to first utilize the principle of invariance to narrow the class of estimators under consideration to the equivariant ones. The unbiased estimates of risk of these estimators are then computed and promising estimators are derived from them. A Monte Carlo study is also conducted to evaluate the risk performances of these estimators. The results of this paper extend those of Stein, Haff, Dey and Srinivasan from the one sample problem to the two sample one.
Publié le : 1991-03-14
Classification:  Covariance matrix,  Wishart distribution,  Stein's loss,  unbiased estimate of risk,  equivariant estimation,  62F10,  62C99
@article{1176347982,
     author = {Loh, Wei-Liem},
     title = {Estimating Covariance Matrices},
     journal = {Ann. Statist.},
     volume = {19},
     number = {1},
     year = {1991},
     pages = { 283-296},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176347982}
}
Loh, Wei-Liem. Estimating Covariance Matrices. Ann. Statist., Tome 19 (1991) no. 1, pp.  283-296. http://gdmltest.u-ga.fr/item/1176347982/