Estimation of the eigenvalues of \(\Sigma{}_ 1\Sigma{}_ 2^{-1}\)

DOI10.1016/0047-259X(92)90053-IzbMath0745.62020OpenAlexW2477554125MaRDI QIDQ1186768

S. Singh

Publication date: 28 June 1992

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(92)90053-i

zbMATH Keywords

eigenvaluesloss functionpower functionrisk reductionunbiased risk estimatorinvariant testeigenvalue estimationestimated eigenvalueshypothesis of the equality of population covariance matricesindependent Wishart matricesmultivariate \(F\)- distributionnormal two- sample problemorthogonally invariant minimax estimator

Mathematics Subject Classification ID

Point estimation (62F10) Minimax procedures in statistical decision theory (62C20) Foundations and philosophical topics in statistics (62A01) Statistical decision theory (62C99)

Related Items (1)

Estimation of two high-dimensional covariance matrices and the spectrum of their ratio

Cites Work

• An orthogonally invariant minimax estimator of the covariance matrix of a multivariate normal population
• Estimation of parameter matrices and eigenvalues in MANOVA and canonical correlation analysis
• The variational form of certain Bayes estimators
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