A new estimator of covariance matrix

DOI10.1016/j.jspi.2011.08.010zbMath1428.62234OpenAlexW1964005558MaRDI QIDQ645623

Lijie Jia, Yingsheng Su, Tie-Feng Ma

Publication date: 10 November 2011

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2011.08.010

zbMATH Keywords

covariance matrixStein's losspartial Iwasawa coordinates

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

Related Items (9)

Improved estimation of the covariance matrix and the generalized variance of a multivariate normal distribution: some unifying results ⋮ The Bayes rule of the parameter in (0,1) under Zhang’s loss function with an application to the beta-binomial model ⋮ Further results on estimation of covariance matrix ⋮ A new estimator of covariance matrix via partial Iwasawa coordinates ⋮ A Stein's approach to covariance matrix estimation using regularization of Cholesky factor and log-Cholesky metric ⋮ The structure of autocovariance matrix of discrete time subfractional Brownian motion ⋮ Shrinkage estimation for the mean of the inverse Gaussian population ⋮ Minimax estimation of a normal covariance matrix with the partial Iwasawa decomposition ⋮ Matrix differential calculus with applications in the multivariate linear model and its diagnostics

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On estimation of a matrix of normal means with unknown covariance matrix
• Estimation of covariance matrices in fixed and mixed effects linear models
• Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss
• An orthogonally invariant minimax estimator of the covariance matrix of a multivariate normal population
• Estimation of a covariance matrix under Stein's loss
• An identity for the Wishart distribution with applications
• Multivariate empirical Bayes and estimation of covariance matrices
• Estimation of a normal covariance matrix with incomplete data under Stein's loss
• Estimating the covariance matrix: A new approach
• Methods for improvement in estimation of a normal mean matrix
• Empirical Bayes on vector observations: An extension of Stein's method

This page was built for publication: A new estimator of covariance matrix