Abstract
This article mainly discusses the admissibility of quadratic estimate of covariance in pseudo-elliptical distribution. Under the quadratic loss function, the necessary and sufficient conditions that a quadratic estimator is an admissible estimator of covariance in the class of quadratic estimators are obtained. A complete class of the quadratic estimator class is also given.
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The research was partially supported by the Doctoral Programme of Higher Education (No. 20020027010) of China.
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Cui, H., Gao, X. Quadratic Admissible Estimate of Covariance in Pseudo-Elliptical Contoured Distribution. Jrl Syst Sci & Complex 19, 236–255 (2006). https://doi.org/10.1007/s11424-006-0236-8
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DOI: https://doi.org/10.1007/s11424-006-0236-8