Improved Gaussian mean matrix estimators in high-dimensional data

DOI10.1016/J.JMVA.2025.105424MaRDI QIDQ6982177zbMATH OpenFDO

Authors Arash A. Foroushani, Sévérien Nkurunziza

Publication date 19 May 2025

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

Full work available at URL https://doi.org/10.1016/J.JMVA.2025.105424

zbMATH Keywords

invariant quadratic lossJames-Stein estimationlocation parameterminimax estimationMoore-Penrose inverserisk functionsingular Wishart distributionsome counter-examples

Mathematics Subject Classification ID

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

Cites work

• Estimation of the mean of a multivariate normal distribution
• scientific article; zbMATH DE number 9813 (Why is no real title available?)
• scientific article; zbMATH DE number 3111121 (Why is no real title available?)
• Improved multivariate normal mean estimation with unknown covariance when \(p\) is greater than \(n\)
• Improving on the MLE of a bounded normal mean.
• Integrative exploration of large high-dimensional datasets
• Minimax estimators in the normal MANOVA model
• On estimation of a matrix of normal means with unknown covariance matrix
• Optimal shrinkage estimator for high-dimensional mean vector
• Robust shrinkage estimation for elliptically symmetric distributions with unknown covariance matrix
• Tensor Regression with Applications in Neuroimaging Data Analysis
• The Differentiation of Pseudo-Inverses and Nonlinear Least Squares Problems Whose Variables Separate

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