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An Estimator of Normal Covariance Matrix

Abstract Solliah (1964), by considering the group of lower triangular matrices, suggested an estimator of the normal covariance matrix Σ when the mean vector is known and the loss function is tr ( Σ − 1   Σ ∧ − I ) 2 His estimator besides being minimax is better than the MLB of Σ. In this paper, we improve upon his estimator and calculate the reduction in the risk when Σ is 2×2.