On improved interval estimation for the generalized variance. (English) Zbl 0953.62026
Summary: A confidence interval for the generalized variance of a matrix normal distribution with unknown mean is constructed which improves on the usual minimum size (i.e., minimum length or minimum ratio of endpoints) interval based on the sample generalized variance alone in terms of both coverage probability and size. The method is similar to the univariate case treated by C. Goutis and G. Casella [Ann. Stat. 19, No. 4, 2015-2031 (1991; Zbl 0745.62026)].
MSC:
| 62F25 | Parametric tolerance and confidence regions |
| 62H12 | Estimation in multivariate analysis |
| 62C12 | Empirical decision procedures; empirical Bayes procedures |
Keywords:
interval estimation; matrix normal distribution; Wishart distribution; generalized variance; improved estimation; point estimation; empirical BayesCitations:
Zbl 0745.62026References:
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