Estimating the covariance matrix: A new approach

DOI10.1016/S0047-259X(02)00053-2zbMath1020.62049MaRDI QIDQ1400141

Tatsuya Kubokawa, Muni S. Srivastava

Publication date: 13 August 2003

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

zbMATH Keywords

decision theorycovariance matrixgeneralized varianceminimax estimationBartlett decompositionimprovementStein result

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20) Admissibility in statistical decision theory (62C15)

Related Items (12)

Shrinkage confidence procedures ⋮ Estimation of covariance matrices in fixed and mixed effects linear models ⋮ Improved estimation of the covariance matrix and the generalized variance of a multivariate normal distribution: some unifying results ⋮ Best approximation of the identity mapping: The case of variable finite memory ⋮ Unified improvements in estimation of a normal covariance matrix in high and low dimensions ⋮ A new estimator of covariance matrix via partial Iwasawa coordinates ⋮ A new estimator of covariance matrix ⋮ Improved minimax estimation of the bivariate normal precision matrix under the squared loss ⋮ Truncated Estimators for a Precision Matrix ⋮ Optimal multilinear estimation of a random vector under constraints of causality and limited memory ⋮ Estimation of Generalized Variance Under an Asymetric Loss Function “Squared Log Error” ⋮ Toward Best Approximation of Nonlinear Systems: A Case of Models with Memory

Cites Work

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• Improved nonnegative estimation of multivariate components of variance
• Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean
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• Distributions of Matrix Variates and Latent Roots Derived from Normal Samples

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