Estimation of Multivariate Complex Normal Covariance Matrices Under an Invariant Quadratic Loss

DOI10.1080/03610920802265194zbMath1318.62177OpenAlexW2165049900MaRDI QIDQ3585252

Yoshihiko Konno

Publication date: 19 August 2010

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920802265194

zbMATH Keywords

minimax estimatorsshrinkage estimatorsHunt-Stein theoremStein-Haff identitycalculus on eigenstructurescomplex Wishart distributions

Mathematics Subject Classification ID

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

Cites Work

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• Improved nonnegative estimation of multivariate components of variance
• Multivariate calculation. Use of the continuous groups
• Improving on the sample covariance matrix for a complex elliptically contoured distribution
• Classical Statistical Analysis Based on a Certain Multivariate Complex Gaussian Distribution
• Statistical Analysis Based on a Certain Multivariate Complex Gaussian Distribution (An Introduction)
• On the Complex Wishart Distribution

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