Shrinkage estimation of a mean matrix of a multivariate complex normal distribution

2013/02/08 by Konno, Yoshihiko
#FOS: Mathematics #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.1302.1950

Abstract

The problem of estimating a mean matrix of a multivariate complex normal distribution with an unknown covariance matrix is considered under an invariant loss function. By using complex versions of the Stein identity, the Stein-Haff identity, and calculus on eigenvalues, a formula is obtained for an unbiased estimate of the risk of an invariant class of estimators, from which several minimax shrinkage estimators are constructed.

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