Estimation of a multivariate normal covariance matrix with staircase pattern data

DOI10.1007/s10463-006-0044-xzbMath1332.62177OpenAlexW2079690995MaRDI QIDQ995792

Xiaoqian Sun, Dongchu Sun

Publication date: 10 September 2007

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-006-0044-x

zbMATH Keywords

covariance matrixmaximum likelihood estimatorinadmissibilityreference priorJeffreys priorCholesky decompositionBartlett decompositionbest equivariant estimatorinvariant Haar measurestaircase pattern data

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Bayesian inference (62F15) Positive matrices and their generalizations; cones of matrices (15B48) Admissibility in statistical decision theory (62C15)

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