A new estimator of covariance matrix

DOI10.1016/J.JSPI.2011.08.010zbMath1428.62234OpenAlexW1964005558MaRDI QIDQ645623

Lijie Jia, Yingsheng Su, Tie-Feng Ma

Publication date: 10 November 2011

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2011.08.010

zbMATH Keywords

covariance matrixStein's losspartial Iwasawa coordinates

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

Related Items (9)

Improved estimation of the covariance matrix and the generalized variance of a multivariate normal distribution: some unifying results ⋮ The Bayes rule of the parameter in (0,1) under Zhang’s loss function with an application to the beta-binomial model ⋮ Further results on estimation of covariance matrix ⋮ A new estimator of covariance matrix via partial Iwasawa coordinates ⋮ A Stein's approach to covariance matrix estimation using regularization of Cholesky factor and log-Cholesky metric ⋮ The structure of autocovariance matrix of discrete time subfractional Brownian motion ⋮ Shrinkage estimation for the mean of the inverse Gaussian population ⋮ Minimax estimation of a normal covariance matrix with the partial Iwasawa decomposition ⋮ Matrix differential calculus with applications in the multivariate linear model and its diagnostics

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• Methods for improvement in estimation of a normal mean matrix
• Empirical Bayes on vector observations: An extension of Stein's method

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