Improved estimation of a multinormal precision matrix

DOI10.1016/0167-7152(87)90085-XzbMath0628.62056OpenAlexW2043183023MaRDI QIDQ1093286

Dey, Dipak K.

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1016/0167-7152(87)90085-x

zbMATH Keywords

eigenvaluesdifferential inequalityWishart distributionquadratic losssample covariance matriximproved estimatorsorthogonal equivariant estimatorsmultinormal precision matrix

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Statistical decision theory (62C99)

Related Items (8)

Improved second order estimation in the singular multivariate normal model ⋮ Bayesian estimation of the precision matrix with monotone missing data ⋮ Estimation of the inverse scatter matrix of an elliptically symmetric distribution ⋮ Bayesian estimation of a bounded precision matrix ⋮ Methods for improvement in estimation of a normal mean matrix ⋮ Estimation of the inverse scatter matrix for a scale mixture of Wishart matrices under Efron-Morris type losses ⋮ Estimation of the precision matrix of a singular Wishart distribution and its application in high-dimensional data ⋮ On improved estimation of normal precision matrix and discriminant coefficients

Cites Work

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• Estimation of a covariance matrix under Stein's loss
• Estimation of the inverse covariance matrix: Random mixtures of the inverse Wishart matrix and the identity
• Improving on inadmissible estimators in continuous exponential families with applications to simultaneous estimation of gamma scale parameters
• Admissible and minimax multiparameter estimation in exponential families
• Minimax estimators for a multinormal precision matrix

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