Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss (Q1036786): Difference between revisions

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scientific article

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English	Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss	scientific article

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instance of

scholarly article

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title

Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss (English)

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author

Yoshihiko Konno

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published in

Journal of Multivariate Analysis

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publication date

13 November 2009

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zbMATH Keywords

unbiased estimate of risk

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integration by parts formula

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singular Wishart distributions

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Stein-Haff identity

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calculus on eigenstructures

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jmva.2009.05.002

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Multivariate empirical Bayes and estimation of covariance matrices

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Empirical Bayes estimation of the multivariate normal covariance matrix

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The variational form of certain Bayes estimators

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Q3854463

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Enriched conjugate and reference priors for the Wishart family on symmetric cones

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Nonconjugate Bayesian Estimation of Covariance Matrices and Its Use in Hierarchical Models

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Shrinkage Estimators for Covariance Matrices

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Estimation of a covariance matrix using the reference prior

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Regularized estimation of large covariance matrices

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Covariance matrix selection and estimation via penalised normal likelihood

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A well-conditioned estimator for large-dimensional covariance matrices

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Estimation of a covariance matrix under Stein's loss

0 references

An identity for the Wishart distribution with applications

0 references

Estimation of the inverse covariance matrix: Random mixtures of the inverse Wishart matrix and the identity

0 references

Improving on the sample covariance matrix for a complex elliptically contoured distribution

0 references

Estimation of the precision matrix of a singular Wishart distribution and its application in high-dimensional data

0 references

Estimating covariance matrices

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Q4130201

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Singular Wishart and multivariate beta distributions

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UNBIASED ESTIMATOR OF RISK FOR AN ORTHOGONALLY INVARIANT ESTIMATOR OF A COVARIANCE MATRIX

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Q3870159

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Linear and graphical models for the multivariate complex normal distribution

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Statistical Analysis Based on a Certain Multivariate Complex Gaussian Distribution (An Introduction)

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Classical Statistical Analysis Based on a Certain Multivariate Complex Gaussian Distribution

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The complex Wishart distribution and the symmetric group

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On the Complex Wishart Distribution

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Q3138763

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Expectations of useful complex Wishart forms

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Complex singular Wishart matrices and applications

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

0 references

Identifiers

zbMATH Open document ID

1176.62054

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DOI

10.1016/j.jmva.2009.05.002

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1036786

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@@ Property / OpenAlex ID: W2116316038 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3219581
@@ Property / cites work: Q3219581 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3854462
@@ Property / cites work: Q3854462 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3185327
@@ Property / cites work: Q3185327 / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate empirical Bayes and estimation of covariance matrices
+Normal rank
@@ Property / cites work @@
+Empirical Bayes estimation of the multivariate normal covariance matrix
+Normal rank
@@ Property / cites work @@
+The variational form of certain Bayes estimators
@@ Property / cites work: The variational form of certain Bayes estimators / rank @@
+Normal rank
@@ Property / cites work @@
+Q3854463
@@ Property / cites work: Q3854463 / rank @@
+Normal rank
@@ Property / cites work @@
+Enriched conjugate and reference priors for the Wishart family on symmetric cones
+Normal rank
@@ Property / cites work @@
+Nonconjugate Bayesian Estimation of Covariance Matrices and Its Use in Hierarchical Models
+Normal rank
@@ Property / cites work @@
+Shrinkage Estimators for Covariance Matrices
@@ Property / cites work: Shrinkage Estimators for Covariance Matrices / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of a covariance matrix using the reference prior
+Normal rank
@@ Property / cites work @@
+Regularized estimation of large covariance matrices
+Normal rank
@@ Property / cites work @@
+Covariance matrix selection and estimation via penalised  normal likelihood
+Normal rank
@@ Property / cites work @@
+A well-conditioned estimator for large-dimensional covariance matrices
+Normal rank
@@ Property / cites work @@
+Estimation of a covariance matrix under Stein's loss
+Normal rank
@@ Property / cites work @@
+An identity for the Wishart distribution with applications
+Normal rank
@@ Property / cites work @@
+Estimation of the inverse covariance matrix: Random mixtures of the inverse Wishart matrix and the identity
+Normal rank
@@ Property / cites work @@
+Improving on the sample covariance matrix for a complex elliptically contoured distribution
+Normal rank
@@ Property / cites work @@
+Estimation of the precision matrix of a singular Wishart distribution and its application in high-dimensional data
+Normal rank
@@ Property / cites work @@
+Estimating covariance matrices
@@ Property / cites work: Estimating covariance matrices / rank @@
+Normal rank
@@ Property / cites work @@
+Q4130201
@@ Property / cites work: Q4130201 / rank @@
+Normal rank
@@ Property / cites work @@
+Singular Wishart and multivariate beta distributions
+Normal rank
@@ Property / cites work @@
+UNBIASED ESTIMATOR OF RISK FOR AN ORTHOGONALLY INVARIANT ESTIMATOR OF A COVARIANCE MATRIX
+Normal rank
@@ Property / cites work @@
+Q3870159
@@ Property / cites work: Q3870159 / rank @@
+Normal rank
@@ Property / cites work @@
+Linear and graphical models for the multivariate complex normal distribution
+Normal rank
@@ Property / cites work @@
+Statistical Analysis Based on a Certain Multivariate Complex Gaussian Distribution (An Introduction)
+Normal rank
@@ Property / cites work @@
+Classical Statistical Analysis Based on a Certain Multivariate Complex Gaussian Distribution
+Normal rank
@@ Property / cites work @@
+The complex Wishart distribution and the symmetric group
+Normal rank
@@ Property / cites work @@
+On the Complex Wishart Distribution
@@ Property / cites work: On the Complex Wishart Distribution / rank @@
+Normal rank
@@ Property / cites work @@
+Q3138763
@@ Property / cites work: Q3138763 / rank @@
+Normal rank
@@ Property / cites work @@
+Expectations of useful complex Wishart forms
@@ Property / cites work: Expectations of useful complex Wishart forms / rank @@
+Normal rank
@@ Property / cites work @@
+Complex singular Wishart matrices and applications
+Normal rank
@@ Property / cites work @@
+Estimation of normal covariance matrices parametrized by irreducible symmetric cones under Stein's loss
+Normal rank