Estimation of the inverse scatter matrix of an elliptically symmetric distribution
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Publication:900790
DOI10.1016/j.jmva.2015.08.012zbMath1328.62337MaRDI QIDQ900790
Fatiha Mezoued, Martin T. Wells, Dominique Fourdrinier
Publication date: 23 December 2015
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2015.08.012
Moore-Penrose inverse; quadratic loss; high-dimensional statistics; elliptically symmetric distributions; inverse scatter matrix; sample eigenvalues; singular sample covariance matrix; Stein-Haff identity
62H12: Estimation in multivariate analysis
62F10: Point estimation
62C99: Statistical decision theory
Related Items
Estimation of the inverse scatter matrix for a scale mixture of Wishart matrices under Efron-Morris type losses, Scale matrix estimation of an elliptically symmetric distribution in high and low dimensions
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Cites Work
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