Inadmissibility of the Best Equivariant Estimators of the Variance-Covariance Matrix and the Generalized Variance under Entropy Loss.

Abstract

Based on a data matrix and an independent Wishart matarix testmators dominating the best equivariant estimators of sigma and /sigma/ are obtained under two types of entropy loss. For simultaneous estimation of the mean vector and the variance covariance matrix of a multinormal population, a suitable entropy loss is developed and testimators dominating the pair consisting of the sample mean vector and the best multiple of the sample Wishart matrix are derived. A technique of SINHA is heavily exploited. Keywords: MANOVA test; Roy's maximum root test; Wishart distribution.

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Document Details

Document Type
Technical Report
Publication Date
Jul 01, 1985
Accession Number
ADA159059

Entities

People

  • B. K. Sinha
  • M. Ghosh

Organizations

  • University of Pittsburgh

Tags

DTIC Thesaurus Topics

  • Air Force
  • Computing-Related Activities
  • Contracts
  • Covariance
  • Data Science
  • Estimators
  • Governments
  • Information Science
  • Intellectual Property
  • Notation
  • Scientific Research
  • Statistical Algorithms
  • Statistical Analysis
  • United States
  • United States Government
  • Universities
  • Wishart Matrices

Fields of Study

  • Mathematics

Readers

  • Statistical inference.