常用正态协方差阵估计的非容许性

Inadmissibility of Common Estimators of Normal Covariance Matrix

摘要: 在二次损失函数下,本文给出了正态方差最优同变估计的一个新的改进估计,并证明了常用正态协方差和协方差阵的估计都是非容许估计。

Abstract: In this paper, we give a new estimator improving the best invariant estimator of normal variance, and prove both common estimators of normal covariance and covariance matrix are inadmissible, when the loss functions are quadratic.