Abstract
Eaton and Olkin (1987) discussed the problem of best equivariant estimator of the matrix scale parameter with respect to different scalar loss functions. Edwin Prabakaran and Chandrasekar (1994) developed simultaneous equivariant estimation approach and illustrated the method with examples. The problems considered in this paper are simultaneous equivariant estimation of the parameters of (i) a matrix scale model and (ii) a multivariate location-scale model. By considering matrix loss function (Klebanov, Linnik and Ruhin, 1971) a characterization of matrix minimum risk equivariant (MMRE) estimator of the matrix parameter is obtained in each case. Illustrative examples are provided in which MMRE estimators are obtained with respect to two matrix loss functions.
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Leo Alexander, T., Chandrasekar, B. Simultaneous equivariant estimation of the parameters of matrix scale and matrix location-scale models. Statistical Papers 46, 483–507 (2005). https://doi.org/10.1007/BF02763001
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DOI: https://doi.org/10.1007/BF02763001