An Empirical Bayes Approach to Shrinkage Estimation on the Manifold of Symmetric Positive-Definite Matrices

Chun-Hao Yang, Hani Doss, Baba C. Vemuri

The James-Stein estimator is an estimator of the multivariate normal mean and dominates the maximum likelihood estimator (MLE) under squared error loss. The original work inspired…