A unified approach for covariance matrix estimation under Stein loss
In this paper, we address the problem of estimating a covariance matrix of a multivariate Gaussian distribution, from a decision theoretic point of view, relative to a Stein type loss function. We investigate the case where the covariance matrix is invertible and the case when it is non–invertible i...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Académie des sciences
2022-10-01
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| Series: | Comptes Rendus. Mathématique |
| Online Access: | https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.5802/crmath.356/ |