Improved second order estimation in the singular multivariate normal model

DOI10.1016/j.jmva.2016.01.001zbMath1335.62027arXiv1509.02451OpenAlexW2962869892MaRDI QIDQ272055

Didier Chételat, Martin T. Wells

Publication date: 20 April 2016

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.02451

zbMATH Keywords

discriminant functioncovariance matrixMoore-Penrose inverseprecision matrixLDAsingular normalsingular Wishartunbiased risk estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Point estimation (62F10) Admissibility in statistical decision theory (62C15)

Related Items (4)

A regularized profile likelihood approach to covariance matrix estimation ⋮ A calibration method for non-positive definite covariance matrix in multivariate data analysis ⋮ Covariance matrix estimation under data-based loss ⋮ A unified approach for covariance matrix estimation under Stein loss

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