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
M. Srivastava
中科院分区：
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文献类型：
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作者：
T. Kubokawa;M. Srivastava

文献摘要

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本文导出了Haff或更多的扩展版本
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.