Estimation of the inverse scatter matrix of an elliptically symmetric distribution

DOI10.1016/j.jmva.2015.08.012zbMath1328.62337OpenAlexW1244990357MaRDI QIDQ900790

Fatiha Mezoued, Martin T. Wells, Dominique Fourdrinier

Publication date: 23 December 2015

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2015.08.012

zbMATH Keywords

Moore-Penrose inversequadratic losshigh-dimensional statisticselliptically symmetric distributionsinverse scatter matrixsample eigenvaluessingular sample covariance matrixStein-Haff identity

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Point estimation (62F10) Statistical decision theory (62C99)

Related Items (2)

Scale matrix estimation of an elliptically symmetric distribution in high and low dimensions ⋮ Estimation of the inverse scatter matrix for a scale mixture of Wishart matrices under Efron-Morris type losses

Uses Software

• glasso

Cites Work

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