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arXiv · 2103.11147

A unified approach for covariance matrix estimation under Stein loss

Anis M. Haddouche·Wei Lu
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Abstract

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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Anis M. Haddouche, Wei Lu. 2021-03-20. A unified approach for covariance matrix estimation under Stein loss. https://arxiv.org/abs/2103.11147

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