Research Article Open Access

Comparison of Estimators of Dispersion Matrix

Narges Abbasi

Abstract

Based on a sample, we considered the problem of estimating the dispersion matrix of a multivariate normal distribution with variance covariance matrix Σ. Empirical Bayes estimators and Haff estimators with their conditions, two proposed estimators of Σ, were the best affine equivariant estimators of dispersion matrix, which we compared them by three different loss functions.

Journal of Mathematics and Statistics
Volume 4 No. 3, 2008, 145-147

DOI: https://doi.org/10.3844/jmssp.2008.145.147

Submitted On: 4 August 2008 Published On: 31 December 2008

How to Cite: Abbasi, N. (2008). Comparison of Estimators of Dispersion Matrix. Journal of Mathematics and Statistics, 4(3), 145-147. https://doi.org/10.3844/jmssp.2008.145.147

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Keywords

  • Affine equivariant estimator
  • point estimation
  • loss function
  • risk function
  • Stein's estimator