Improving on the sample covariance matrix for a complex elliptically contoured distribution

DOI10.1016/j.jspi.2006.09.022zbMath1120.62038OpenAlexW2117071511MaRDI QIDQ2455734

Yoshihiko Konno

Publication date: 26 October 2007

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.2006.09.022

zbMATH Keywords

minimaxeigenvalue distributioncovariance matrixshrinkage estimatorcomplex Wishart distributioncomplex normal distributionunbiased risk of estimates

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Admissibility in statistical decision theory (62C15)

Related Items (4)

Estimation of Multivariate Complex Normal Covariance Matrices Under an Invariant Quadratic Loss ⋮ Stein–Haff identity for the exponential family ⋮ On weakly equivariant estimators ⋮ Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss

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