Comptes Rendus. Mathématique (Oct 2022)

A unified approach for covariance matrix estimation under Stein loss

  • Haddouche, Anis M.,
  • Lu, Wei

DOI
https://doi.org/10.5802/crmath.356
Journal volume & issue
Vol. 360, no. G10
pp. 1093 – 1098

Abstract

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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.