多元正态总体协差阵∑的一类新的Bayes估计

A NEM KIND OF BAYES ESTIMATORS OFΣ WHICH IS COVARIANCE MATRIX OF MULTIVARIATE NORMAL DISTRIBUTION

本文讨论了在一类新的损失函数 L(∑,)=tr(∑^(-1)-I_m)D(∑^(-1)-I_m)＇之下,多元正态总体协差阵∑的Bayes估计。

In this paper, we have discussed the Bayes estimator of Σ under the new kind of loss functions L(Σ,) = tr( Σ^(-1) -1_m)D (Σ^(-1) - 1_m)′, Where D is a mxm nonsingular symmetric matrix.