Improved estimation of a covariance matrix in an elliptically contoured matrix distribution

DOI10.1016/S0047-259X(03)00063-0zbMath1032.62051OpenAlexW1971309277MaRDI QIDQ1421865

Foon Yip Ng, Pui Lam Leung

Publication date: 3 February 2004

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

Full work available at URL: https://doi.org/10.1016/s0047-259x(03)00063-0

zbMATH Keywords

kurtosisscale matrixdecision-theoretic estimationepsilon-contaminated distributionsmultivariate-elliptical t distribution

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Admissibility in statistical decision theory (62C15)

Related Items (4)

Invariance properties of the likelihood ratio for covariance matrix estimation in some complex elliptically contoured distributions ⋮ Estimation of the inverse scatter matrix of an elliptically symmetric distribution ⋮ Improved ANOVAE of the covariance matrix in general linear mixed models ⋮ Improved estimation of the covariance matrix under Stein's loss

Cites Work

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• Greatest lower bound to the elliptical theory kurtosis parameter
• Asymptotic distributions in canonical correlation analysis and other multivariate procedures for nonnormal populations
• Estimating the normal dispersion matrix and the precision matrix from a decision-theoretic point of view: a review

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