Estimation of the precision matrix of a multivariate elliptically contoured stable distribution

DOI10.1080/02331880903541887MaRDI QIDQ5402586zbMATH OpenOpenAlexFDO

Authors Taras Bodnar, Arjun K. Gupta

Publication date 14 March 2014

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331880903541887

zbMATH Keywords

quadratic lossdecision theoretic estimationestimation of the precision matrixmatrix stable distribution

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 1391247 (Why is no real title available?)
• A Method for Simulating Stable Random Variables
• Estimation in Univariate and Multivariate Stable Distributions
• Estimation of the precision matrix of multivariate Kotz type model
• Improved Estimation of Generalized Variance and Precision
• Improved Minimax Estimators of Normal Convariance and Precision Matrices
• Improved minimax estimation of a normal precision matrix
• Indirect estimation of elliptical stable distributions
• Maximum-likelihood estimates and likelihood-ratio criteria for multivariate elliptically contoured distributions
• Monte Carlo EM estimation for multivariate stable distributions
• On improved estimation of normal precision matrix and discriminant coefficients
• On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
• Parameter Estimates for Symmetric Stable Distributions
• Regression-Type Estimation of the Parameters of Stable Laws
• Simple consistent estimators of stable distribution parameters
• Simultaneous estimation of eigenvalues
• Some representations of stable random variables as products
• Stable Paretian models in finance

Cited in

(8)

• On the asymptotic and approximate distributions of the product of an inverse Wishart matrix and a Gaussian vector
• Direct shrinkage estimation of large dimensional precision matrix
• Predicting precision matrices for color matching problem
• Estimation of the precision matrix of multivariate Pearson type II model
• Robust improvement in estimation of a mean matrix in an elliptically contoured distribution
• On the product of inverse Wishart and normal distributions with applications to discriminant analysis and portfolio theory
• SIMULTANEOUS ESTIMATION OF SCALE MATRICES IN TWO-SAMPLE PROBLEM UNDER ELLIPTICALLY CONTOURED DISTRIBUTIONS
• An exact test for a column of the covariance matrix based on a single observation

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