An identity for multivariate elliptically contoured matrix distribution

DOI10.1016/j.spl.2009.02.003zbMath1359.62180OpenAlexW2083705167MaRDI QIDQ1021772

Arjun K. Gupta, Taras Bodnar

Publication date: 9 June 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.02.003

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Point estimation (62F10)

Related Items (3)

An exact test for a column of the covariance matrix based on a single observation ⋮ Stein–Haff identity for the exponential family ⋮ Multivariate elliptically contoured autoregressive process

Cites Work

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• Estimation of a covariance matrix under Stein's loss
• An identity for the Wishart distribution with applications
• Estimation of the inverse covariance matrix: Random mixtures of the inverse Wishart matrix and the identity
• Empirical Bayes estimation of the multivariate normal covariance matrix
• The variational form of certain Bayes estimators
• Robust improvement in estimation of a covariance matrix in an elliptically contoured distribution

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