Comptes Rendus. Mathématique (Oct 2022)
A unified approach for covariance matrix estimation under Stein loss
Abstract
In this paper, we address the problem of estimating a covariance matrix of a multivariate Gaussian distribution, from a decision theoretic point of view, relative to a Stein type loss function. We investigate the case where the covariance matrix is invertible and the case when it is non–invertible in a unified approach.