Minimax covariance estimation using commutator subgroup of lower triangular matrices

DOI10.1016/J.JMVA.2013.11.007zbMath1359.62192OpenAlexW1978250099MaRDI QIDQ392096

Hisayuki Tsukuma

Publication date: 13 January 2014

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2013.11.007

zbMATH Keywords

covariance matrixWishart distributionstatistical decision theorycommutator subgroupleast favorable priorStein's loss

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Point estimation (62F10) Minimax procedures in statistical decision theory (62C20)

Related Items (1)

Minimax estimation of a normal covariance matrix with the partial Iwasawa decomposition

Cites Work

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• An orthogonally invariant minimax estimator of the covariance matrix of a multivariate normal population
• Estimation of a covariance matrix under Stein's loss
• The variational form of certain Bayes estimators
• Optimal robust M-estimators using Rényi pseudodistances
• Invariance, Minimax Sequential Estimation, and Continuous Time Processes
• Amenability: A survey for statistical applications of hunt-stein and related conditions on groups
• Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation

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