Risk behavior of variance estimators in multivariate normal distribution
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- Wan, Alan T. K. & Zou, Guohua, 2003. "Optimal critical values of pre-tests when estimating the regression error variance: analytical findings under a general loss structure," Journal of Econometrics, Elsevier, vol. 114(1), pages 165-196, May.
- Misra, Neeraj & Singh, Harshinder & Demchuk, Eugene, 2005. "Estimation of the entropy of a multivariate normal distribution," Journal of Multivariate Analysis, Elsevier, vol. 92(2), pages 324-342, February.
- Leila Golparver & Ali Karimnezhad & Ahmad Parsian, 2013. "Optimal rules and robust Bayes estimation of a Gamma scale parameter," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(5), pages 595-622, July.
- Pal, Nabendu & Ling, Chiahua, 1995. "Improved minimax estimation of powers of the variance of a multivariate normal distribution under the entropy loss function," Statistics & Probability Letters, Elsevier, vol. 24(3), pages 205-211, August.
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Keywords
Variance estimation quadratic loss entropy loss Brewster--Zidek estimator Stein estimator confluent hypergeometric function;Statistics
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