Improved multivariate normal mean estimation with unknown covariance when p is greater than n

Didier Chételat, Martin T. Wells

We consider the problem of estimating the mean vector of a p-variate normal $(\theta ,\Sigma )$ distribution under invariant quadratic loss, $(\delta -\theta {)}^{\prime }{\Sigma }^{-1}(\delta -\theta )$, when the covariance is unknown…