A note on estimating eigenvalues of scale matrix of the multivariate \(F\)- distribution
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Publication:1207622
DOI10.1007/BF00116475zbMath0761.62069MaRDI QIDQ1207622
Publication date: 1 April 1993
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
covariance matrixscale matrixorthogonally invariant estimatorsmultivariate \(F\)-distributionestimating eigenvaluesHaff-type estimatorsimproved orthogonally invariant estimatorsnew estimators of eigenvalues
Estimation in multivariate analysis (62H12) Point estimation (62F10) Empirical decision procedures; empirical Bayes procedures (62C12)
Related Items (8)
Time series models for realized covariance matrices based on the matrix-F distribution ⋮ Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form ⋮ Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model ⋮ Decision theoretic estimation of functions of the canonical correlation coefficients ⋮ A note on estimating eigenvalues of scale matrix of the multivariate \(F\)- distribution ⋮ Estimation of two high-dimensional covariance matrices and the spectrum of their ratio ⋮ Estimation of eigenvalues of the scale matrix of the multivariate f distribution ⋮ An identity for the noncentral Wishart distribution with application
Cites Work
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- Estimation of parameter matrices and eigenvalues in MANOVA and canonical correlation analysis
- Simultaneous estimation of eigenvalues
- An identity for the Wishart distribution with applications
- Empirical Bayes estimation of the multivariate normal covariance matrix
- A note on estimating eigenvalues of scale matrix of the multivariate \(F\)- distribution
- On estimation of the scale matrix of the multivariate f distribution
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