Minimax estimators of a covariance matrix

DOI10.1016/0047-259X(92)90108-RzbMath0754.62038MaRDI QIDQ1201125

François Perron

Publication date: 17 January 1993

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

zbMATH Keywords

combinatoricsminimaxconvexitysimulation resultsequivarianceriskdominationentropy lossminimax estimatorsisotonic regressionnonsingular Wishart distributionestimation of covariance matrices

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20)

Related Items (19)

Estimation of a high-dimensional covariance matrix with the Stein loss ⋮ Posterior propriety and admissibiity of hyperpriors in normal hierarchical models ⋮ A regularized profile likelihood approach to covariance matrix estimation ⋮ Perturbation-based classifier ⋮ Improved estimation of the covariance matrix and the generalized variance of a multivariate normal distribution: some unifying results ⋮ On a conjecture of Krishnamoorthy and Gupta ⋮ Estimation of normal covariance matrices parametrized by irreducible symmetric cones under Stein's loss ⋮ Modifying estimators of ordered positive parameters under the Stein loss ⋮ Estimating the covariance matrix: A new approach ⋮ Monotonic minimax estimators of a 2×2 covariance matrix ⋮ A Stein's approach to covariance matrix estimation using regularization of Cholesky factor and log-Cholesky metric ⋮ Improving on the sample covariance matrix for a complex elliptically contoured distribution ⋮ Inadmissibility of non-order-preserving orthogonally invariant estimators of the covariance matrix in the case of Stein's loss ⋮ Other classes of minimax estimators of variance covariance matrix in multivariate normal distribution ⋮ On improved estimation of normal precision matrix and discriminant coefficients ⋮ Inadmissibility of the maximum likelihood estimator of normal covariance matrices with the lattice conditional independence ⋮ Nonparametric empirical Bayes estimation of the matrix parameter of the Wishart distribution ⋮ Polynomial estimation of eigenvalues ⋮ Shrinkage and modification techniques in estimation of variance and the related problems: A review

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• An orthogonally invariant minimax estimator of the covariance matrix of a multivariate normal population
• Estimation of a covariance matrix under Stein's loss
• Trimmed minimax estimator of a covariance matrix
• The variational form of certain Bayes estimators
• Inadmissibility of non-order-preserving orthogonally invariant estimators of the covariance matrix in the case of Stein's loss
• Invariance, Minimax Sequential Estimation, and Continuous Time Processes
• Orthogonal Equivariant Minimax Estimatorsof Bivariate Normal Covariance Matrix and Precision Matrix

This page was built for publication: Minimax estimators of a covariance matrix