Other classes of minimax estimators of variance covariance matrix in multivariate normal distribution

摘要

It is will known that the best equivariant estimator of the variance covariance matrix of the multivariate normal distribution with respect to the Full affine group of transformation is not even minimax. Some minimax estimators have been proposed. Hers we treat this problem in the framework of a multivariate analysis of variance (MANOVA) model and give other classes of minimax estimators. (C) 2001 Academic Press. [References: 13]