Estimating the Inverse Matrix of Scale Parameters in an Elliptically Contoured Distribution

抄録

The problem of estimating the inverse matrix of scale parameters of an elliptically contoured distribution is considered with respect to Stein’s loss function. It is shown that improvement of the estimators obtained under the normality assumption remains robust under an elliptically contoured distribution. A numerical study is also conducted to evaluate the risk performances of the improved estimators.