On
Improved Interval Estimation for the Generalized Variance
George Iliopoulos and Stavros Kourouklis
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 of
construction is similar to that in the univariate case treated by Goutis and Casella
(1991).
AMS 1991 subject classifications: 62C99, 62F25, 62H12.
Key words and phrases: Decision theory, improved point and interval
estimation of a normal variance, matrix normal distribution, Wishart
distribution, generalized variance.