On the maximum likelihood estimation of a covariance matrix

DOI10.3103/S1066530718010052zbMath1402.62109OpenAlexW2802709883MaRDI QIDQ722606

Ming-Tien Tsai

Publication date: 27 July 2018

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s1066530718010052

zbMATH Keywords

Iwasawa decompositionminimax estimatorgeodesic distance

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Point estimation (62F10) Minimax procedures in statistical decision theory (62C20)

Related Items (1)

Jensen's inequality connected with a double random good

Cites Work

• Nonlinear shrinkage estimation of large-dimensional covariance matrices
• A note on covariance estimation in the unbiased estimator of risk framework
• Spectral analysis of large dimensional random matrices
• Invariance, Minimax Sequential Estimation, and Continuous Time Processes
• Eigenvalues and Condition Numbers of Random Matrices
• Some Basic Hypergeometric Extensions of Integrals of Selberg and Andrews
• Distributions of Matrix Variates and Latent Roots Derived from Normal Samples
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