Estimation of the inverse scatter matrix for a scale mixture of Wishart matrices under Efron-Morris type losses

DOI10.1016/j.jspi.2021.04.001zbMath1473.62178OpenAlexW3011658465MaRDI QIDQ2242869

William E. Strawderman, Dominique Fourdrinier, Fatiha Mezoued, Djamila Boukehil

Publication date: 10 November 2021

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2021.04.001

zbMATH Keywords

elliptically symmetric distributionsscatter matrixscale mixtures of WishartStein-Haff-type identitySURE estimators

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Point estimation (62F10) Statistical decision theory (62C99)

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