Scale matrix estimation under data-based loss in high and low dimensions

Mohamed Anis Haddouche, Dominique Fourdrinier, Fatiha Mezoued

We consider the problem of estimating the scale matrix $\Sigma$ of the additif model $Y_{p\times n}=M+\mathcal{E}$, under a theoretical decision point of view. Here, $p$ is the nu…