Admissible estimator of the eigenvalues of the variance-covariance matrix for multivariate normal distributions

DOI10.1016/j.jmva.2010.12.007zbMath1327.62052arXiv0908.1701OpenAlexW2070385709MaRDI QIDQ632753

Akimichi Takemura, Yo Sheena

Publication date: 25 March 2011

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

Full work available at URL: https://arxiv.org/abs/0908.1701

zbMATH Keywords

covariance matrixsquared error lossWishart distributionKarlin's method

Mathematics Subject Classification ID

Point estimation (62F10) Admissibility in statistical decision theory (62C15)

Related Items (3)

Admissible estimator of the eigenvalues of the variance-covariance matrix for multivariate normal distributions ⋮ The structure of autocovariance matrix of discrete time subfractional Brownian motion ⋮ Inference on the eigenvalues of the covariance matrix of a multivariate normal distribution -- geometrical view

Cites Work

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• A note on simultaneous estimation of eigenvalues of a multivariate normal covariance matrix
• On singular Wishart and singular multivariate beta distributions
• 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 reciprocal of scale parameter of a gamma density
• Admissibility for Estimation with Quadratic Loss

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