Equivariant estimators of the covariance matrix

DOI10.2307/3315567zbMath0702.62048OpenAlexW2006061789MaRDI QIDQ3481089

François Perron

Publication date: 1990

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3315567

zbMATH Keywords

dominationWishart matrixmultivariate linear modelmaximal invariantgroup of transformationsequivariant estimatorsmultinormal vectorStein-type truncated estimators

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Foundations and philosophical topics in statistics (62A01) Admissibility in statistical decision theory (62C15)

Related Items (9)

Double shrinkage estimation of ratio of scale parameters ⋮ Estimation of covariance matrices in fixed and mixed effects linear models ⋮ A regularized profile likelihood approach to covariance matrix estimation ⋮ Improved estimation of the covariance matrix and the generalized variance of a multivariate normal distribution: some unifying results ⋮ Estimating the covariance matrix: A new approach ⋮ Unified improvements in estimation of a normal covariance matrix in high and low dimensions ⋮ Estimation of a scale parameter in mixture models with unknown location ⋮ Other classes of minimax estimators of variance covariance matrix in multivariate normal distribution ⋮ Estimation of Generalized Variance Under an Asymetric Loss Function “Squared Log Error”

Cites Work

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• Improved estimation of a covariance matrix under quadratic loss
• Empirical Bayes estimation of the multivariate normal covariance matrix
• Improving on equivariant estimators
• Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean

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