Robust Improvement in Estimation of a Covariance Matrix in an Elliptically Contoured Distribution

This paper derives an extended version of the Haff or, more appropriately, Stein-Haff identity for an elliptically contoured distribution (ECD). This identity is then used to show that the minimax estimators of the covariance matrix obtained under normal models remain robust under the ECD model.

Bibliographische Detailangaben
Veröffentlicht in:The Annals of Statistics. - Institute of Mathematical Statistics. - 27(1999), 2, Seite 600-609
1. Verfasser: Kubokawa, T. (VerfasserIn)
Weitere Verfasser: Srivastava, M. S.
Format: Online-Aufsatz
Sprache:English
Veröffentlicht: 1999
Zugriff auf das übergeordnete Werk:The Annals of Statistics
Schlagworte:Primary 62H12 Secondary 62F11 Elliptically contoured distribution Robustness of improvement Multivariate linear model Covariance matrix Statistical decision theory Shrinkage estimation Mathematics Philosophy Behavioral sciences