MSE bounds for estimators of matrix functions

DOI10.1016/j.laa.2020.08.036zbMath1457.15020OpenAlexW3083713331MaRDI QIDQ2226459

Anna Skripka

Publication date: 12 February 2021

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.laa.2020.08.036

zbMATH Keywords

covariance matrixbiasestimatormatrix functionmatrix stochastic process

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Random matrices (probabilistic aspects) (60B20) Norms of matrices, numerical range, applications of functional analysis to matrix theory (15A60) Miscellaneous inequalities involving matrices (15A45) Matrix exponential and similar functions of matrices (15A16)

Uses Software

• mftoolbox

Cites Work

• Unnamed Item
• Efron-Stein inequalities for random matrices
• Concentration inequalities and moment bounds for sample covariance operators
• Perturbation theory and higher order \(\mathcal{S}^{p}\)-differentiability of operator functions
• Wishart processes
• Mean square error matrix improvements and admissibility of linear estimators
• Minimum mean square error estimation in linear regression
• A Taylor expansion of the square root matrix function
• Functionals of multidimensional diffusions with applications to finance
• A perturbation analysis of stochastic matrix Riccati diffusions
• Multilinear Schur multipliers and Schatten properties of operator Taylor remainders
• Hardy's Condition in the Moment Problem for Probability Distributions
• Stochastic Perturbation Theory
• Matrix Analysis
• An Introduction to Wishart Matrix Moments
• Multilinear Operator Integrals
• High‐Dimensional Covariance Estimation
• Functions of Matrices
• An Introduction to Matrix Concentration Inequalities
• A Test of the Mean Square Error Criterion for Restrictions in Linear Regression

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