Improved multivariate normal mean estimation with unknown covariance when \(p\) is greater than \(n\) (Q741819)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6344405
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Improved multivariate normal mean estimation with unknown covariance when \(p\) is greater than \(n\) |
scientific article; zbMATH DE number 6344405 |
Statements
Improved multivariate normal mean estimation with unknown covariance when \(p\) is greater than \(n\) (English)
0 references
15 September 2014
0 references
covariance estimation
0 references
James-Stein estimation
0 references
invariant quadratic loss
0 references
large-\(p\)-small-\(n\) problems
0 references
location parameter
0 references
minimax estimation
0 references
Moore-Penrose inverse
0 references
risk function
0 references
singular Wishart distribution
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8372222185134888
0 references
0.8372222185134888
0 references
0.8304547071456909
0 references
