Robust improvement in estimation of a covariance matrix in an elliptically contoured distribution
成果类型：
Article
署名作者：
Kubokawa, T; Srivastava, MS
署名单位：
University of Tokyo; University of Toronto
刊物名称：
ANNALS OF STATISTICS
ISSN/ISSBN：
0090-5364
发表日期：
1999
页码：
600-609
关键词：
摘要：
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.