Asymptotic distribution of Wishart matrix for block-wise dispersion of population eigenvalues

DOI10.1016/j.jmva.2007.04.001zbMath1139.62009arXivmath/0609275OpenAlexW2170106306MaRDI QIDQ2482627

Akimichi Takemura, Yo Sheena

Publication date: 23 April 2008

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

Full work available at URL: https://arxiv.org/abs/math/0609275

zbMATH Keywords

covariance matrixWishart distributionquadratic lossasymptotic riskStein's loss

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Minimax procedures in statistical decision theory (62C20)

Related Items

Estimation in High-Dimensional Analysis and Multivariate Linear Models ⋮ Asymptotic distribution of Wishart matrix for block-wise dispersion of population eigenvalues ⋮ An asymptotic expansion of Wishart distribution when the population eigenvalues are infinitely dispersed

Cites Work

• An asymptotic expansion of Wishart distribution when the population eigenvalues are infinitely dispersed
• Estimation of a covariance matrix under Stein's loss
• Inadmissibility of non-order-preserving orthogonally invariant estimators of the covariance matrix in the case of Stein's loss
• Asymptotic distribution of Wishart matrix for block-wise dispersion of population eigenvalues
• Distribution of eigenvalues and eigenvectors of Wishart matrix when the population eigenvalues are infinitely dispersed and its application to minimax estimation of covariance matrix
• Improved minimax estimation of a normal precision matrix
• Reference prior bayes estimator for bivariate normal covariance matrix with risk comparison
• Estimating the normal dispersion matrix and the precision matrix from a decision-theoretic point of view: a review
• ON MINIMAXITY OF SOME ORTHOGONALLY INVARIANT ESTIMATORS OF BIVARIATE NORMAL DISPERSION MATRIX
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