Improved estimation of a multinormal precision matrix
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Stein's technique is used to obtain improved estimators of the multinormal precision matrix under quadratic loss. The technique is to obtain a certain differential inequality involving the eigenvalues of the sample covariance matrix. Several improved estimators are obtained by solving the differential inequality.
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- scientific article; zbMATH DE number 4180571
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Cites work
- Admissible and minimax multiparameter estimation in exponential families
- Estimation of a covariance matrix under Stein's loss
- Estimation of the inverse covariance matrix: Random mixtures of the inverse Wishart matrix and the identity
- Estimation with quadratic loss.
- scientific article; zbMATH DE number 3862243 (Why is no real title available?)
- Improving on inadmissible estimators in continuous exponential families with applications to simultaneous estimation of gamma scale parameters
- Minimax estimators for a multinormal precision matrix
Cited in
(17)- Estimation of a covariance matrix under Stein's loss
- Estimation of the inverse scatter matrix for a scale mixture of Wishart matrices under Efron-Morris type losses
- Bayesian estimation of a bounded precision matrix
- Methods for improvement in estimation of a normal mean matrix
- Improved minimax estimation of the bivariate normal precision matrix under the squared loss
- On improved estimation of normal precision matrix and discriminant coefficients
- An integrated precision matrix estimation for multivariate regression problems
- Improved second order estimation in the singular multivariate normal model
- scientific article; zbMATH DE number 4180571 (Why is no real title available?)
- scientific article; zbMATH DE number 3923889 (Why is no real title available?)
- Improved minimax estimation of a normal precision matrix
- Portfolio selection based on the spectral decomposition of the sample covariance matrix: a shrinkage-motivated basis-optimization strategy
- Estimation of the precision matrix of multivariate Pearson type II model
- Promote sign consistency in the joint estimation of precision matrices
- Bayesian estimation of the precision matrix with monotone missing data
- Estimation of the inverse scatter matrix of an elliptically symmetric distribution
- Estimation of the precision matrix of a singular Wishart distribution and its application in high-dimensional data
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