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An orthogonally invariant minimax estimator of the covariance matrix of a multivariate normal population
In the problem of estimating the covariance matrix of a multivariate normal population James and Stein (1961) obtained a minimax estimator by considering the best invariant estimator with respect to the triangular group. In this paper we propose an orthogonally invariant estimator obtained by averaging the minimax estimator with respect …