A note on simultaneous estimation of eigenvalues of a multivariate normal covariance matrix

DOI10.1016/0167-7152(93)90143-7zbMath0766.62030OpenAlexW2085460396MaRDI QIDQ1209695

Chun Jin

Publication date: 16 May 1993

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

Full work available at URL: https://doi.org/10.1016/0167-7152(93)90143-7

zbMATH Keywords

covariance matrixnew class of estimators of tracesimultaneous estimation of the eigenvaluessum of squared errors loss

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

Related Items (2)

Admissible estimator of the eigenvalues of the variance-covariance matrix for multivariate normal distributions ⋮ Inference on the eigenvalues of the covariance matrix of a multivariate normal distribution -- geometrical view

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Simultaneous estimation of eigenvalues
• An identity for the Wishart distribution with applications
• Estimation of the inverse covariance matrix: Random mixtures of the inverse Wishart matrix and the identity
• Empirical Bayes estimation of the multivariate normal covariance matrix

This page was built for publication: A note on simultaneous estimation of eigenvalues of a multivariate normal covariance matrix