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arXiv · 1302.1950

Shrinkage estimation of a mean matrix of a multivariate complex normal distribution

Yoshihiko Konno
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Abstract

The problem of estimating a mean matrix of a multivariate complex normal distribution with an unknown covariance matrix is considered under an invariant loss function. By using complex versions of the Stein identity, the Stein-Haff identity, and calculus on eigenvalues, a formula is obtained for an unbiased estimate of the risk of an invariant class of estimators, from which several minimax shrinkage estimators are constructed.

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Yoshihiko Konno. 2013-02-08. Shrinkage estimation of a mean matrix of a multivariate complex normal distribution. https://arxiv.org/abs/1302.1950

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