Improved estimation of the covariance matrix under Stein's loss

DOI10.1016/J.SPL.2008.10.024zbMATH Open1157.62036OpenAlexW1989901452MaRDI QIDQ1009700FDOQ1009700

Authors: Rendao Ye, Songgui Wang 

Publication date: 3 April 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.10.024

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Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Admissibility in statistical decision theory (62C15)

Cites Work

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• Estimation with quadratic loss.
• Title not available (Why is that?)
• Estimation of a covariance matrix under Stein's loss
• Inadmissibility of non-order-preserving orthogonally invariant estimators of the covariance matrix in the case of Stein's loss
• Title not available (Why is that?)
• Improved estimation of a covariance matrix in an elliptically contoured matrix distribution
• Estimation of the scale matrix and its eigenvalues in the Wishart and the multivariate \(F\) distributions
• Trimmed minimax estimator of a covariance matrix

Cited In (19)

• Minimax covariance estimation using commutator subgroup of lower triangular matrices
• An orthogonally invariant minimax estimator of the covariance matrix of a multivariate normal population
• Estimation of a covariance matrix under Stein's loss
• Estimation of a high-dimensional covariance matrix with the Stein loss
• The Bayes rule of the parameter in \((0,1)\) under Zhang's loss function with an application to the beta-binomial model
• Estimation of normal covariance matrices parametrized by irreducible symmetric cones under Stein's loss
• Title not available (Why is that?)
• Improved estimation of a covariance matrix under quadratic loss
• On the maximum likelihood estimation of a covariance matrix
• A new estimator of covariance matrix
• Further results on estimation of covariance matrix
• Trimmed minimax estimator of a covariance matrix
• PREDICTIVE ESTIMATION OF A COVARIANCE MATRIX AND ITS STRUCTURAL PARAMETERS
• Improvement on the best invariant estimators of the normal covariance and precision matrices via a lower triangular subgroup
• Three strings of inequalities among six Bayes estimators
• A note on simultaneous estimation of eigenvalues of a multivariate normal covariance matrix
• On estimation of a matrix of normal means with unknown covariance matrix
• First-order covariance inequalities via Stein's method
• Estimation of a normal covariance matrix with incomplete data under Stein's loss

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