Orthogonal Equivariant Minimax Estimatorsof Bivariate Normal Covariance Matrix and Precision Matrix

DOI10.1177/0008068319830103zbMath0559.62041OpenAlexW57538937MaRDI QIDQ5185841

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Publication date: 1983

Published in: Calcutta Statistical Association Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1177/0008068319830103

zbMATH Keywords

simulation resultsWishart distributionprecision matrixunbiased estimatorbivariate normal covariance matrixscale and orthogonal equivariant minimax estimators

Mathematics Subject Classification ID

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

Related Items (12)

Simultaneous equivariant estimation of the parameters of matrix scale and matrix location-scale models ⋮ On a conjecture of Krishnamoorthy and Gupta ⋮ Monotonic minimax estimators of a 2×2 covariance matrix ⋮ Empirical Bayesian estimation of normal variances and covariances ⋮ Minimax estimators of a covariance matrix ⋮ Improved minimax estimation of the bivariate normal precision matrix under the squared loss ⋮ Improved minimax estimation of a normal precision matrix ⋮ 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 multivariate normal covariance and precision matrices in a star-shape model with missing data ⋮ Estimation of the multivariate normal precision and covariance matrices in a star-shape model ⋮ Estimating the normal dispersion matrix and the precision matrix from a decision-theoretic point of view: a review ⋮ Nonparametric empirical Bayes estimation of the matrix parameter of the Wishart distribution

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