Optimal Bayesian minimax rates for unconstrained large covariance matrices

DOI10.1214/18-BA1094zbMath1407.62043arXiv1702.07448MaRDI QIDQ1631606

Jaeyong Lee, Kyoungjae Lee

Publication date: 6 December 2018

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.07448

zbMATH Keywords

convergence rateBayesian minimax ratedecision theoretic prior selectionunconstrained covariance

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Bayesian inference (62F15) Bayesian problems; characterization of Bayes procedures (62C10) Minimax procedures in statistical decision theory (62C20)

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