A unified approach for covariance matrix estimation under Stein loss
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Publication:2080951
DOI10.5802/CRMATH.356OpenAlexW3136780736MaRDI QIDQ2080951
Publication date: 12 October 2022
Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2103.11147
Estimation in multivariate analysis (62H12) Point estimation (62F10) Statistical decision theory (62C99)
Cites Work
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- Estimation of a covariance matrix under Stein's loss
- Lectures on the theory of estimation of many parameters
- Empirical Bayes estimation of the multivariate normal covariance matrix
- Singular Wishart and multivariate beta distributions
- Covariance matrix estimation under data-based loss
- Scale matrix estimation of an elliptically symmetric distribution in high and low dimensions
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