Estimation of the multivariate normal precision matrix under the entropy loss

DOI10.1023/A:1014657020370zbMath1003.62051OpenAlexW1538236850MaRDI QIDQ1603014

Jinglong Wang, Xiaoqian Sun, Xian Zhou

Publication date: 24 June 2002

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1014657020370

zbMATH Keywords

entropy lossinadmissibilitymultivariate normal distributionprecision matrixrisk functionbest lower-triangular affine equivariant minimax estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20) Admissibility in statistical decision theory (62C15)

Related Items (6)

Estimation of the inverse scatter matrix of an elliptically symmetric distribution ⋮ Bayesian estimation of a bounded precision matrix ⋮ Bayesian Inference on Multivariate Normal Covariance and Precision Matrices in a Star-Shaped Model with Missing Data ⋮ Estimation of the inverse scatter matrix for a scale mixture of Wishart matrices under Efron-Morris type losses ⋮ Improved minimax estimation of the bivariate normal precision matrix under the squared loss ⋮ On improved estimation of normal precision matrix and discriminant coefficients

This page was built for publication: Estimation of the multivariate normal precision matrix under the entropy loss