Table 3.

Percentage reduction in average loss (PRIAL) for estimating Σ (p = 5) for samples of size 10, 20, and 50. Negative values indicate increases in risk. The dashes correspond to a PRIAL < –120. Details on the true Σ can be found in Section 4.1. Stein, Stein estimator; struc log, structured log eigenvalue shrinkage estimator; rotation, rotation shrinkage estimator; corr, correlation shrinkage estimator.

Σ	n	Stein	Struc log	Rotation	Corr
I-A2	10	33	34	–52	57
	20	19	20	—	48
	50	7	15	—	38
II-A2	10	46	52	47	79
	20	34	33	18	73
	50	15	15	–33	62
III-A2	10	33	26	–83	–54
	20	22	13	—	–78
	50	9	5	—	–81
IV-A2	10	47	48	—	—
	20	46	46	—	—
	50	44	44	—	—
V-A2	10	26	26	—	—
	20	13	13	—	—
	50	3	3	—	—
VI-A2	10	52	64	61	65
	20	43	50	42	44
	50	24	24	4	3