A unified approach for covariance matrix estimation under Stein loss

03/20/2021
by   Anis M. Haddouche, et al.
0

In this paper, we address the problem of estimating a covariance matrix of a multivariate Gaussian distribution, relative to a Stein loss function, from a decision theoretic point of view. We investigate the case where the covariance matrix is invertible and the case when it is non–invertible in a unified approach.

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