Orthogonal Equivariant Minimax Estimatorsof Bivariate Normal Covariance Matrix and Precision Matrix

DOI10.1177/0008068319830103MaRDI QIDQ5185841zbMATH OpenOpenAlexFDO

Authors

Publication date 1983

Published in Calcutta Statistical Association Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1177/0008068319830103

zbMATH Keywords

bivariate normal covariance matrixprecision matrixscale and orthogonal equivariant minimax estimatorssimulation resultsunbiased estimatorWishart distribution

Mathematics Subject Classification ID

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

Cited in

(12)

• Minimax estimators of a covariance matrix
• Nonparametric empirical Bayes estimation of the matrix parameter of the Wishart distribution
• On a conjecture of Krishnamoorthy and Gupta
• Empirical Bayesian estimation of normal variances and covariances
• Improved minimax estimation of the bivariate normal precision matrix under the squared loss
• Distribution of eigenvalues and eigenvectors of Wishart matrix when the population eigenvalues are infinitely dispersed and its application to minimax estimation of covariance matrix
• Estimation of multivariate normal covariance and precision matrices in a star-shape model with missing data
• Estimation of the multivariate normal precision and covariance matrices in a star-shape model
• Improved minimax estimation of a normal precision matrix
• Monotonic minimax estimators of a 2×2 covariance matrix
• Estimating the normal dispersion matrix and the precision matrix from a decision-theoretic point of view: a review
• Simultaneous equivariant estimation of the parameters of matrix scale and matrix location-scale models

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