Estimation of scale matrix of elliptically contoured matrix distributions

Run-Ze Li, Kai-Tai Fang*

*Corresponding author for this work

Research output: Contribution to journalJournal articlepeer-review

2 Citations (Scopus)


In this paper, the problem of estimation of scale matrix is considered under entropy loss, quadratic loss and squared error loss. With respect to entropy and quadratic loss, we obtain the best estimator of Σ having the form αSx as well as having the form TxΔTx′, where Sx, Tx and Δ are given in the text, and obtain the minimax estimator of Σ and the best equivariant estimator of Σ with respect to the triangular transformations group. With respect to the squared error loss, we generalize the result of Dey and Srinivasan (1992).

Original languageEnglish
Pages (from-to)289-297
Number of pages9
JournalStatistics and Probability Letters
Issue number4
Publication statusPublished - Sept 1995
Externally publishedYes

Scopus Subject Areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

User-Defined Keywords

  • Elliptically matrix distribution
  • Entropy loss
  • Quadratic loss
  • Squared error loss


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