Empirical Bayesian estimation of normal variances and covariances

DOI10.1016/S0047-259X(02)00076-3zbMath1030.62004MaRDI QIDQ1414602

Colin J. Champion

Publication date: 4 December 2003

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

zbMATH Keywords

DispersionCorrelationInverse WishartPrecision

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Point estimation (62F10) Bayesian problems; characterization of Bayes procedures (62C10) Empirical decision procedures; empirical Bayes procedures (62C12)

Related Items (3)

Best approximation of the identity mapping: The case of variable finite memory ⋮ Optimal multilinear estimation of a random vector under constraints of causality and limited memory ⋮ Toward Best Approximation of Nonlinear Systems: A Case of Models with Memory

Cites Work

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• Estimation of a covariance matrix under Stein's loss
• Empirical Bayes estimation of the multivariate normal covariance matrix
• The variational form of certain Bayes estimators
• Multivariate empirical Bayes and estimation of covariance matrices
• Estimation of a covariance matrix using the reference prior
• Shrinkage Estimators for Covariance Matrices
• Bayesian estimation of the dispersion matrix of a multivariate normal distribution
• Improved minimax estimation of a normal precision matrix
• Nonconjugate Bayesian Estimation of Covariance Matrices and Its Use in Hierarchical Models
• Improved Minimax Estimators of Normal Convariance and Precision Matrices
• Orthogonal Equivariant Minimax Estimatorsof Bivariate Normal Covariance Matrix and Precision Matrix
• Bayesian analysis of a three-component hierarchical design model

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