A New Estimator of Covariance Matrix via Partial Iwasawa Coordinates

XU Kai

Journal of Systems Science & Complexity ›› 2017, Vol. 30 ›› Issue (5) : 1173-1188.

PDF(369 KB)
PDF(369 KB)
Journal of Systems Science & Complexity ›› 2017, Vol. 30 ›› Issue (5) : 1173-1188. DOI: 10.1007/s11424-017-6007-x

A New Estimator of Covariance Matrix via Partial Iwasawa Coordinates

  • XU Kai
Author information +
History +

Abstract

This paper is concerned with the problem of improving the estimator of covariance matrix under Stein’s loss. By the partial Iwasawa coordinates of covariance matrix, the corresponding risk can be split into three parts. One can use the information in the weighted matrix of weighted quadratic loss to improve one part of risk. However, this paper indirectly takes advantage of the information in the sample mean and reuses Iwasawa coordinates to improve the rest of risk. It is worth mentioning that the process above can be repeated. Finally, a Monte Carlo simulation study is carried out to verify the theoretical results.

Cite this article

Download Citations
XU Kai. A New Estimator of Covariance Matrix via Partial Iwasawa Coordinates. Journal of Systems Science and Complexity, 2017, 30(5): 1173-1188 https://doi.org/10.1007/s11424-017-6007-x
PDF(369 KB)

74

Accesses

0

Citation

Detail

Sections
Recommended

/