Estimating the normal dispersion matrix and the precision matrix from a decision-theoretic point of view: a review

DOI10.1007/BF02925524zbMath0767.62040OpenAlexW2043370174MaRDI QIDQ4695798

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Publication date: 29 June 1993

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02925524

zbMATH Keywords

empirical Bayesloss functionspectral decompositionreviewWishart matrixprecision matrixrisk functiondispersion matrixWishart identityaffine equivariant estimatorcorrelation matrix methodpoint estimation methodsStein's testimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Point estimation (62F10) Statistical decision theory (62C99)

Related Items (12)

Quadratic shrinkage for large covariance matrices ⋮ A regularized profile likelihood approach to covariance matrix estimation ⋮ Optimal shrinkage of eigenvalues in the spiked covariance model ⋮ Improved estimation of a covariance matrix in an elliptically contoured matrix distribution ⋮ Bayesian estimation of a bounded precision matrix ⋮ 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 ⋮ Estimation of the eigenvalues of noncentrality parameter matrix in noncentral Wishart distribu\-tion ⋮ An asymptotic expansion of Wishart distribution when the population eigenvalues are infinitely dispersed ⋮ Estimation of the multivariate normal precision and covariance matrices in a star-shape model ⋮ Estimation of the precision matrix of multivariate Kotz type model ⋮ Estimation of the precision matrix of multivariate Pearson type II model

Cites Work

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