On estimation of a matrix of normal means with unknown covariance matrix

DOI10.1016/0047-259X(91)90090-OzbMath0716.62053MaRDI QIDQ753347

Yoshihiko Konno

Publication date: 1991

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

zbMATH Keywords

Wishart matrixminimax estimationeigenstructureStein estimatorBaranchik-type estimatorinvariant estimatorinvariant loss functioninvariant minimax estimatorsunbiased estimation of the risk

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20)

Related Items (23)

Shrinkage minimax estimation and positive-part rule for a mean matrix in an elliptically contoured distribution ⋮ Bayes minimax estimation of the mean matrix of matrix-variate normal distribution under balanced loss function ⋮ On multivariate linear regression shrinkage and reduced-rank procedures ⋮ Ridge-type linear shrinkage estimation of the mean matrix of a high-dimensional normal distribution ⋮ Optimal shrinkage of eigenvalues in the spiked covariance model ⋮ Generalized Bayes estimators with closed forms for the normal mean and covariance matrices ⋮ Further results on estimation of covariance matrix ⋮ A new estimator of covariance matrix ⋮ Methods for improvement in estimation of a normal mean matrix ⋮ Generalized ridge estimator and model selection criteria in multivariate linear regression ⋮ Biased estimation in a simple multivariate regression model ⋮ Improved loss estimation for a normal mean matrix ⋮ Robust improvement in estimation of a mean matrix in an elliptically contoured distribution ⋮ Estimating risk and the mean squared error matrix in Stein estimation ⋮ Shrinkage priors for Bayesian estimation of the mean matrix in an elliptically contoured distribution ⋮ Minimax multivariate empirical Bayes estimators under multicollinearity ⋮ Predicting Multivariate Response in Linear Regression Model ⋮ Minimax Estimation of the Mean Matrix of the Matrix Variate Normal Distribution under the Divergence Loss Function ⋮ Generalized Bayes minimax estimation of the normal mean matrix with unknown covariance matrix ⋮ Minimax hierarchical empirical Bayes estimation in multivariate regression ⋮ A unified approach to estimating a normal mean matrix in high and low dimensions ⋮ Weighted shrinkage estimators of normal mean matrices and dominance properties ⋮ Shrinkage to smooth non-convex cone :Principal component analysis as stein estimation

Cites Work

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• An identity for the Wishart distribution with applications
• On estimation of matrix of normal mean
• Minimax estimators in the normal MANOVA model
• Generalized Bayes minimax estimators of the multivariate normal mean with unknown covariance matrix
• Further identities for the Wishart distribution with applications in regression

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