MSE bounds for estimators of matrix functions

DOI10.1016/J.LAA.2020.08.036MaRDI QIDQ2226459zbMATH OpenOpenAlexFDO

Authors Anna Skripka

Publication date 12 February 2021

Published in Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.laa.2020.08.036

zbMATH Keywords

biascovariance matrixestimatormatrix functionmatrix stochastic process

Mathematics Subject Classification ID

Matrix exponential and similar functions of matrices (15A16) Miscellaneous inequalities involving matrices (15A45) Norms of matrices, numerical range, applications of functional analysis to matrix theory (15A60) Random matrices (probabilistic aspects) (60B20) Estimation in multivariate analysis (62H12)

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Cites work

• A perturbation analysis of stochastic matrix Riccati diffusions
• A Taylor expansion of the square root matrix function
• A Test of the Mean Square Error Criterion for Restrictions in Linear Regression
• An introduction to matrix concentration inequalities
• An Introduction to Wishart Matrix Moments
• Concentration inequalities and moment bounds for sample covariance operators
• Efron-Stein inequalities for random matrices
• Functionals of multidimensional diffusions with applications to finance
• Functions of Matrices
• Hardy's condition in the moment problem for probability distributions
• High-dimensional covariance estimation
• scientific article; zbMATH DE number 477682 (Why is no real title available?)
• Matrix Analysis
• Mean square error matrix improvements and admissibility of linear estimators
• Minimum mean square error estimation in linear regression
• Multilinear operator integrals. Theory and applications
• Multilinear Schur multipliers and Schatten properties of operator Taylor remainders
• Perturbation theory and higher order \(\mathcal{S}^{p}\)-differentiability of operator functions
• Stochastic Perturbation Theory
• Wishart processes

Cited in

(5)

• Estimation of Monge matrices
• Small-Sample Statistical Condition Estimates for General Matrix Functions
• Improved bounds for small-sample estimation
• An upper bound for functions of estimators in high dimensions
• Concentration and consistency of sample covariance matrix functionals in sub-Gaussian models

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Uses Software

• mftoolbox

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