Estimation of normal covariance and precision matrices with incomplete data

DOI10.1080/03610929108830529MaRDI QIDQ3212140zbMATH OpenOpenAlexFDO

Authors

Publication date 1991

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929108830529

zbMATH Keywords

best lower triangular invariant minimax estimatorloss functionsWishart distribution

Mathematics Subject Classification ID

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

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Cites work

• A representation of Bayes invariant procedures in terms of Haar measure
• Estimation of a covariance matrix under Stein's loss
• Improved minimax estimation of a normal precision matrix
• Improved Minimax Estimators of Normal Covariance and Precision Matrices from Incomplete Samples
• Maximum Likelihood Estimates for a Multivariate Normal Distribution when some Observations are Missing

Cited in

(11)

• Flexible covariance estimation in graphical Gaussian models
• Estimation of the mean and the covariance matrix under a marginal independence assumption -- an application of matrix differential calculus
• Estimation of a normal covariance matrix with incomplete data under Stein's loss
• Estimation of multivariate normal covariance and precision matrices in a star-shape model with missing data
• Multivariate regression with consecutively added dependent variables
• Improved Minimax Estimators of Normal Covariance and Precision Matrices from Incomplete Samples
• Bayesian Inference on Multivariate Normal Covariance and Precision Matrices in a Star-Shaped Model with Missing Data
• Unbiased estimator for a covariance matrix under two-step monotone incomplete sample
• Inadmissibility of the maximum likelihood estimator of normal covariance matrices with the lattice conditional independence
• Bayesian estimation of the precision matrix with monotone missing data
• The information matrix of a sample of observations with missing data from a mutlivariate normal distribution with a covariance structure

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