Improvement on the Best Invariant Estimators of the Normal Covariance and Precision Matrices via a Lower Triangular Subgroup

DOI10.14490/JJSS.44.195zbMath1341.62135OpenAlexW299203282MaRDI QIDQ2813373

Hisayuki Tsukuma

Publication date: 24 June 2016

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14490/jjss.44.195

zbMATH Keywords

minimaxityWishart distributioninadmissibilitystatistical decision theorycommutator subgroupinvariant estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Minimax procedures in statistical decision theory (62C20)

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