Intrinsic covariance matrix estimation for multivariate elliptical distributions

DOI10.1016/J.SPL.2020.108774zbMath1439.62153OpenAlexW3014694112MaRDI QIDQ2173369

Jie Zhou, Sanfeng Hu, Junhao Guo

Publication date: 22 April 2020

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2020.108774

zbMATH Keywords

Rao distanceelliptical distributionscovariance matrix estimationintrinsically unbiased estimationmixture of multivariate elliptical distributions

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Classification and discrimination; cluster analysis (statistical aspects) (62H30)

Cites Work

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• A generalization of the Wishart distribution for the elliptical model and its moments for the multivariate t model
• Differential-geometrical methods in statistics.
• Geodesic estimation in elliptical distributions
• Intrinsic analysis of statistical estimation
• Intrinsic losses
• Information Geometric Approach to Multisensor Estimation Fusion
• A Differential Geometric Approach to the Geometric Mean of Symmetric Positive-Definite Matrices
• The Inverted Dirichlet Distribution with Applications
• Covariance, subspace, and intrinsic Crame/spl acute/r-Rao bounds
• Multivariate Statistics

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