Estimation of a covariance matrix in multivariate skew-normal distribution

DOI10.1080/03610926.2018.1554137OpenAlexW2913857634WikidataQ128411624 ScholiaQ128411624MaRDI QIDQ5077364

Hisayuki Tsukuma, Tatsuya Kubokawa

Publication date: 18 May 2022

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

Full work available at URL: https://doi.org/10.1080/03610926.2018.1554137

zbMATH Keywords

shrinkage estimatorinadmissibilityCholesky decompositionhypergeometric function of matrix argumentnoncentral Wishart distribution

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Point estimation (62F10) Statistics (62-XX)

Uses Software

• sn

Cites Work

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