ROBUST IMPROVEMENT IN ESTIMATION OF A COVARIANCE MATRIX IN AN ELLIPTICALLY CONTOURED DISTRIBUTION RESPECT TO QUADRATIC LOSS FUNCTION

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KHODADADI ZAHRA; TARAMI BAHRAM

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Journal: JOURNAL OF MATHEMATICAL EXTENSION Year:2008 | Volume:3 | Issue:1 Page(s): 13-25

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Title

ROBUST IMPROVEMENT IN ESTIMATION OF A COVARIANCE MATRIX IN AN ELLIPTICALLY CONTOURED DISTRIBUTION RESPECT TO QUADRATIC LOSS FUNCTION

Author(s)

KHODADADI ZAHRA | TARAMI BAHRAM | Issue Writer Certificate

Keywords

COVARIANCE MATRIXQ2

ELLIPTICALLY CON- TOURED DISTRIBUTIONQ2

EXPECTED VALUEQ2

MULTIVARIATE LINEAR MODELQ2

SQUARED LOSSQ2

Abstract

Let S be matrix of residual sum of square in linear model Y=Ab+e where matrix e is distributed as elliptically contoured with unknown scale matrix S. In present work, we consider the problem of estimating S with respect to SQUARED LOSS function, L (S^, S) =tr (S^S-1-I) 2. It is shown that improvement of the estimators were obtained by James, Stein, Dey and Sri-vasan under the normality assumption remains robust under an elliptically contoured distribution respect to SQUARED LOSS function.

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APA: Copy

KHODADADI, ZAHRA, & TARAMI, BAHRAM. (2008). ROBUST IMPROVEMENT IN ESTIMATION OF A COVARIANCE MATRIX IN AN ELLIPTICALLY CONTOURED DISTRIBUTION RESPECT TO QUADRATIC LOSS FUNCTION. JOURNAL OF MATHEMATICAL EXTENSION, 3(1), 13-25. SID. https://sid.ir/paper/240026/en

Vancouver: Copy

KHODADADI ZAHRA, TARAMI BAHRAM. ROBUST IMPROVEMENT IN ESTIMATION OF A COVARIANCE MATRIX IN AN ELLIPTICALLY CONTOURED DISTRIBUTION RESPECT TO QUADRATIC LOSS FUNCTION. JOURNAL OF MATHEMATICAL EXTENSION[Internet]. 2008;3(1):13-25. Available from: https://sid.ir/paper/240026/en

IEEE: Copy

ZAHRA KHODADADI, and BAHRAM TARAMI, “ROBUST IMPROVEMENT IN ESTIMATION OF A COVARIANCE MATRIX IN AN ELLIPTICALLY CONTOURED DISTRIBUTION RESPECT TO QUADRATIC LOSS FUNCTION,” JOURNAL OF MATHEMATICAL EXTENSION, vol. 3, no. 1, pp. 13–25, 2008, [Online]. Available: https://sid.ir/paper/240026/en

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