Simultaneous estimation of eigenvalues

DOI10.1007/BF00053961zbMath0669.62034MaRDI QIDQ1118936

Dey, Dipak K.

Publication date: 1988

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

geometric meanprecision matrixWishart distributionssample eigenvaluesrisk improvementnew estimator of traceone and two sample problemsresidual matrixsimultaneous estimation of eigenvalues of covariance matricessum of squared error loss

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12)

Related Items (16)

Estimation of scale matrix of elliptically contoured matrix distributions ⋮ On estimation of the scale matrix of the multivariate f distribution ⋮ Admissible estimator of the eigenvalues of the variance-covariance matrix for multivariate normal distributions ⋮ Estimation of The Trace of The Scale Matrix of A Multivariate T-Model Using Regression Type Estimator Statistics ⋮ Estimation methods for the multivariate \(t\) distribution ⋮ Inference on the eigenvalues of the covariance matrix of a multivariate normal distribution -- geometrical view ⋮ Estimation of the precision matrix of a multivariate elliptically contoured stable distribution ⋮ A note on estimating eigenvalues of scale matrix of the multivariate \(F\)- distribution ⋮ A note on simultaneous estimation of eigenvalues of a multivariate normal covariance matrix ⋮ Large-sample estimation strategies for eigenvalues of a Wishart matrix. ⋮ Estimation of two high-dimensional covariance matrices and the spectrum of their ratio ⋮ Estimation of the precision matrix of multivariate Kotz type model ⋮ Estimation of the precision matrix of multivariate Pearson type II model ⋮ Estimation of the Trace of the Scale Matrix of the Scale Mixture of Multivariate Normal Distributions ⋮ Estimation of the characteristic roots of the scale matrix ⋮ Polynomial estimation of eigenvalues

Cites Work

• Estimation of a covariance matrix under Stein's loss
• Trimmed minimax estimator of a covariance matrix
• Empirical Bayes estimation of the multivariate normal covariance matrix
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