Robust improvement in estimation of a covariance matrix in an ellipticallycontoured distribution

Citation
T. Kubokawa et Ms. Srivastava, Robust improvement in estimation of a covariance matrix in an ellipticallycontoured distribution, ANN STATIST, 27(2), 1999, pp. 600-609
Citations number
18
Categorie Soggetti
Mathematics
Journal title
ANNALS OF STATISTICS
ISSN journal
00905364 → ACNP
Volume
27
Issue
2
Year of publication
1999
Pages
600 - 609
Database
ISI
SICI code
0090-5364(199904)27:2<600:RIIEOA>2.0.ZU;2-K
Abstract
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.