Тотожність Стейна-Гаффа для експоненційної сім"ї.
In this paper, the Stein–Haff identity is established for positive-definite and symmetric random matrices belonging to the exponential family. The identity is then applied to the matrixvariate gamma distribution, and an estimator that dominates the maximum likelihood estimator in terms of Stein’s loss is obtained. Finally, a simulation study is conducted in order to support the theoretical results.
