Estimation of a multivariate normal covariance matrix under a certain structure
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Publication:4663082
DOI10.1080/02331880410001730748zbMath1062.62097OpenAlexW2066420774MaRDI QIDQ4663082
Publication date: 30 March 2005
Published in: Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331880410001730748
Wishart distributionorder-preservingadmissibilityunbiased estimator of riskorthogonally invariant estimatorStein's loss function
Estimation in multivariate analysis (62H12) Parametric inference under constraints (62F30) Monte Carlo methods (65C05)
Cites Work
- Estimation of a covariance matrix under Stein's loss
- The variational form of certain Bayes estimators
- Inadmissibility of non-order-preserving orthogonally invariant estimators of the covariance matrix in the case of Stein's loss
- Asymptotically efficient estimation of covariance matrices with linear structure
- Improved estimation of a patterned covariance matrix
- Explicit maximum likelihood estimators for certain patterned covariance matrices
- REML Estimation of Covariance Matrices with Restricted Parameter Spaces
- On Certain Characteristics of the Distribution of the Latent Roots of a Symmetric Random Matrix Under General Conditions