Robust improvement in estimation of a covariance matrix in an elliptically contoured distribution
Robust improvement in estimation of a covariance matrix in an elliptically contoured distribution
复制标题
椭圆轮廓分布中协方差矩阵估计的稳健改进
DOI:
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发表时间:
1999
期刊:
影响因子:
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通讯作者:
M. Srivastava
中科院分区:
文献类型:
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作者:
T. Kubokawa;M. Srivastava
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.