Robust Improvement in Estimation of a Covariance Matrix in an Elliptically Contoured Distribution Respect to Quadratic Loss Function
Let S be matrix of residual sum of square in linear model Y = Aβ + e where matrix e is distributed as elliptically contoured with unknown scale matrix Σ. In present work, we consider the problem of estimating Σ with respect to squared loss function, L(Σˆ , Σ) = tr(ΣΣˆ −1 −I) 2 . It is shown th...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Islamic Azad University
2008-03-01
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| Series: | Journal of Mathematical Extension |
| Online Access: | http://ijmex.com/index.php/ijmex/article/view/36 |