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

DOI10.1016/j.jmva.2008.01.016zbMath1284.62092MaRDI QIDQ953851

Tatsuya Kubokawa, Muni S. Srivastava

Publication date: 6 November 2008

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2008.01.016

zbMATH Keywords

discriminant analysis; covariance matrix; precision matrix; singular Wishart; dominance property; empirical Bayes procedure; multivariate classification; Stein-Haff identity; Efron-Morris loss function

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62H30: Classification and discrimination; cluster analysis (statistical aspects)

62C20: Minimax procedures in statistical decision theory

62C12: Empirical decision procedures; empirical Bayes procedures

Related Items

Direct shrinkage estimation of large dimensional precision matrix, Improved second order estimation in the singular multivariate normal model, Estimation of a high-dimensional covariance matrix with the Stein loss, Spectral analysis of the Moore-Penrose inverse of a large dimensional sample covariance matrix, A model selection criterion for discriminant analysis of high-dimensional data with fewer observations, Lasso penalized model selection criteria for high-dimensional multivariate linear regression analysis, Improved multivariate normal mean estimation with unknown covariance when \(p\) is greater than \(n\), Estimation of the inverse scatter matrix of an elliptically symmetric distribution, Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss, On the dimension effect of regularized linear discriminant analysis, Estimations for some functions of covariance matrix in high dimension under non-normality and its applications, Estimation of multivariate 3rd moment for high-dimensional data and its application for testing multivariate normality, Estimation of covariance and precision matrices under scale-invariant quadratic loss in high dimension, Bayesian estimation of a bounded precision matrix, Estimation of the covariance matrix with two-step monotone missing data, A Model Selection Criterion for Discriminant Analysis of Several Groups When the Dimension is Larger than the Total Sample Size, Selection of Variables in Multivariate Regression Models for Large Dimensions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Improved estimation of a multinormal precision matrix
• An identity for the Wishart distribution with applications
• Estimation of the inverse covariance matrix: Random mixtures of the inverse Wishart matrix and the identity
• Multivariate empirical Bayes and estimation of covariance matrices
• Linear discrimination with adaptive ridge classification rules
• Singular Wishart and multivariate beta distributions
• Robust improvement in estimation of a covariance matrix in an elliptically contoured distribution
• A test for the mean vector with fewer observations than the dimension
• Effect of a Shrinkage Estimator on the Linear Discriminant Function
• Comparison of Discrimination Methods for the Classification of Tumors Using Gene Expression Data
• UNBIASED ESTIMATOR OF RISK FOR AN ORTHOGONALLY INVARIANT ESTIMATOR OF A COVARIANCE MATRIX
• Multivariate Theory for Analyzing High Dimensional Data