Reference prior bayes estimator for bivariate normal covariance matrix with risk comparison

DOI10.1080/03610929708832042zbMath0954.62539OpenAlexW2035764921MaRDI QIDQ4269957

Nariaki Sugiura, Hiroki Ishibayashi

Publication date: 10 November 1999

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

Full work available at URL: https://doi.org/10.1080/03610929708832042

zbMATH Keywords

James-Stein estimatorhypergeometric functionWishart distributionentropy lossminimax estimatorlatent rootHaff estimatorlikelihood lossorthogonally equivariant estimatorsshrinkage estimator Stein identity

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Bayesian inference (62F15) Bayesian problems; characterization of Bayes procedures (62C10) Minimax procedures in statistical decision theory (62C20)

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Posterior propriety and admissibiity of hyperpriors in normal hierarchical models ⋮ Robust improvement in estimation of a covariance matrix in an elliptically contoured distribution ⋮ Asymptotic distribution of Wishart matrix for block-wise dispersion of population eigenvalues ⋮ Distribution of eigenvalues and eigenvectors of Wishart matrix when the population eigenvalues are infinitely dispersed and its application to minimax estimation of covariance matrix ⋮ An asymptotic expansion of Wishart distribution when the population eigenvalues are infinitely dispersed ⋮ Improved nonnegative estimation of multivariate components of variance

Cites Work

• The variational form of certain Bayes estimators
• Expressions for some hypergeometric functions of matrix argument with applications
• Estimation of a covariance matrix using the reference prior
• Distributions of Matrix Variates and Latent Roots Derived from Normal Samples
• Unnamed Item