Estimating covariance matrices
From MaRDI portal
Publication:1175405
DOI10.1214/aos/1176347982zbMath0742.62054MaRDI QIDQ1175405
Publication date: 25 June 1992
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176347982
Monte Carlo study; eigenvalues; covariance matrix; equivariance; principle of invariance; minimax estimation; Wishart matrices; Stein's loss; risk performance; unbiased estimates of risk
Related Items
Minimax Empirical Bayes Estimators in Multivariate Mixed Linear Models with Unequal Replications, Minimax estimation of a normal covariance matrix with the partial Iwasawa decomposition, The role of the isotonizing algorithm in Stein's covariance matrix estimator, Minimax estimation for mixtures of Wishart distributions, Modifying estimators of ordered positive parameters under the Stein loss, Estimation of means of multivariate normal populations with order restriction, Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss, On a conjecture of Krishnamoorthy and Gupta, Bootstrap -- an exploration, Estimation of two high-dimensional covariance matrices and the spectrum of their ratio, Quadratic shrinkage for large covariance matrices, Maximum likelihood estimation of Wishart mean matrices under Löwner order restrictions, Estimation of Wishart mean matrices under simple tree ordering, Optimal shrinkage of eigenvalues in the spiked covariance model, Random matrix theory in statistics: a review, Generalized inferences on the common mean vector of several multivariate normal populations, Alternative estimators of the common regression matrix in two GMANOVA models under weighted quadratic losses, On , where, Comparison of Five Tests for the Common Mean of Several Multivariate Normal Populations, Estimation of Multivariate Complex Normal Covariance Matrices Under an Invariant Quadratic Loss
