Estimation of normal covariance matrices parametrized by irreducible symmetric cones under Stein's loss

DOI10.1016/j.jmva.2006.06.006zbMath1105.62058OpenAlexW2140652026MaRDI QIDQ864270

Yoshihiko Konno

Publication date: 13 February 2007

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2006.06.006

zbMATH Keywords

minimaxJordan algebrasgeneralized Wishart distributionunbiased risk estimateStein estimatorBartlett decompositioncomplex normal distributions

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20) Simple, semisimple Jordan algebras (17C20) Finite-dimensional structures of Jordan algebras (17C55)

Related Items (5)

The Bayes rule of the parameter in (0,1) under Zhang’s loss function with an application to the beta-binomial model ⋮ Wishart exponential families on cones related to tridiagonal matrices ⋮ Improving on the sample covariance matrix for a complex elliptically contoured distribution ⋮ Estimation of Multivariate Complex Normal Covariance Matrices Under an Invariant Quadratic Loss ⋮ Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss

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