Improved Minimax Estimators of Normal Convariance and Precision Matrices
Arjun K. Gupta, Samuel Ofori-Nyarko · Statistics · 1995
In this paper we derive the best lower triangular equivariant estimators of the normal covariance matrix Σ and the precision matrix Σ-1 simultaneously. Our estimators are of the form , where Tis a lower triangular matrix and Dis a diagonal matrix of constants. We derive improved estimators which dominate . The risk of the derived estimators for p= 2 and 3 is also given.