Estimation of a multivariate normal covariance matrix under a certain structure

DOI10.1080/02331880410001730748MaRDI QIDQ4663082zbMATH OpenOpenAlexFDO

Authors Arjun K. Gupta, Yo Sheena

Publication date 30 March 2005

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331880410001730748

zbMATH Keywords

admissibilityorder-preservingorthogonally invariant estimatorStein's loss functionunbiased estimator of riskWishart distribution

Mathematics Subject Classification ID

Parametric inference under constraints (62F30) Estimation in multivariate analysis (62H12) Monte Carlo methods (65C05)

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Cites work

• Asymptotically efficient estimation of covariance matrices with linear structure
• Estimation of a covariance matrix under Stein's loss
• Explicit maximum likelihood estimators for certain patterned covariance matrices
• Improved estimation of a patterned covariance matrix
• Inadmissibility of non-order-preserving orthogonally invariant estimators of the covariance matrix in the case of Stein's loss
• On Certain Characteristics of the Distribution of the Latent Roots of a Symmetric Random Matrix Under General Conditions
• REML Estimation of Covariance Matrices with Restricted Parameter Spaces
• The variational form of certain Bayes estimators

Cited in

(12)

• Numerical reconstruction of the covariance matrix of a spherically truncated multinormal distribution
• Improved estimation of a patterned covariance matrix
• Estimation of proportional covariances in the presence of certain linear restrictions.
• More on explicit estimators for a banded covariance matrix
• scientific article; zbMATH DE number 977893 (Why is no real title available?)
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• Multivariate normal estimation: the case \((n < p)\)
• REML Estimation of Covariance Matrices with Restricted Parameter Spaces
• Estimation of a covariance matrix in multivariate skew-normal distribution
• Estimation of patterned covariance in the multivariate linear models: an outer product least-squares approach
• scientific article; zbMATH DE number 5060269 (Why is no real title available?)
• Explicit estimators under m-dependence for a multivariate normal distribution

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