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Empirical Bayes Estimators of Normal Covariance Matrix
Divakar Sharma and K. Krishnamoorthy
Sankhyā: The Indian Journal of Statistics, Series A (1961-2002)
Vol. 47, No. 2 (Jun., 1985), pp. 247-254
Published by: Indian Statistical Institute
Stable URL: http://www.jstor.org/stable/25050540
Page Count: 8
You can always find the topics here!Topics: Estimators, Bayes estimators, Matrices, Covariance, Inner products, Statistical estimation, Statism, Mathematical vectors, Maximum likelihood estimation
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Let S follow a Wishart distribution, with n degrees of freedom and parameter Σ. Haff (1979b, 1980) has proposed estimators of Σ which dominate the best multiples of S under certain loss functions. We consider some other loss functions, show that these estimators are empirical Bayes and compare one of them with the best multiples of S.
Sankhyā: The Indian Journal of Statistics, Series A (1961-2002) © 1985 Indian Statistical Institute