Robust Empirical Bayes Estimation of the Elliptically Countoured Covariance Matrix
Let S be the matrix of residual sum of square in linear model Y = Aβ + e, where the matrix of errors is distributed as elliptically contoured with unknown scale matrix Σ. For Stein loss function, L1(Σˆ , Σ) = tr(ΣΣˆ −1 )−log |ΣΣˆ −1 |−p, and squared loss function, L2(Σˆ , Σ) = tr(ΣΣˆ −1 −I) 2...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Islamic Azad University
2011-06-01
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| Series: | Journal of Mathematical Extension |
| Online Access: | http://ijmex.com/index.php/ijmex/article/view/76 |