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A comparison of some estimators of the variance covariance matrix when the population mean is known

 

作者: Rameshwar D. Gupta,   Ravindra Khattree,  

 

期刊: Statistics  （Taylor Available online 1993）
卷期: Volume 24, issue 4  

页码: 331-345

 

ISSN:0233-1888

 

年代: 1993

 

DOI:10.1080/02331888308802420

 

出版商: Gordon and Breach Science Publishers S.A.

 

关键词: Admissibility;loss function;maximum likelihood estimator;normal distribution

 

数据来源: Taylor

 

摘要:

In this article, we consider the problem of estimation of variance covariance matrix a normally distributed population, when the population mean is known. We, specifically consider the maximum likelihood estimators derived under the known as well as unknown mean assumptions and test their relative merits under various loss functions. Definite results are obtained under entropy as well as squared error loss functions. Finally some open problems in this area are suggested.

 

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