Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss

DOI10.1016/j.jmva.2009.05.002zbMath1176.62054OpenAlexW2116316038MaRDI QIDQ1036786

Yoshihiko Konno

Publication date: 13 November 2009

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2009.05.002

zbMATH Keywords

integration by parts formulaunbiased estimate of riskStein-Haff identitycalculus on eigenstructuressingular Wishart distributions

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Monte Carlo methods (65C05) Statistical decision theory (62C99) Basic linear algebra (15A99)

Related Items (21)

Improved second order estimation in the singular multivariate normal model ⋮ Estimation of a high-dimensional covariance matrix with the Stein loss ⋮ An orthogonally equivariant estimator of the covariance matrix in high dimensions and for small sample sizes ⋮ Linear shrinkage estimation of large covariance matrices using factor models ⋮ Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions ⋮ Scale matrix estimation of an elliptically symmetric distribution in high and low dimensions ⋮ Wishart exponential families on cones related to tridiagonal matrices ⋮ Estimation of the inverse scatter matrix of an elliptically symmetric distribution ⋮ Unified improvements in estimation of a normal covariance matrix in high and low dimensions ⋮ Unnamed Item ⋮ Estimation of covariance and precision matrices under scale-invariant quadratic loss in high dimension ⋮ A new estimator of covariance matrix ⋮ On , where ⋮ A Stein's approach to covariance matrix estimation using regularization of Cholesky factor and log-Cholesky metric ⋮ Estimation of the inverse scatter matrix for a scale mixture of Wishart matrices under Efron-Morris type losses ⋮ Covariance matrix estimation under data-based loss ⋮ Improved multivariate normal mean estimation with unknown covariance when \(p\) is greater than \(n\) ⋮ Stein–Haff identity for the exponential family ⋮ A unified approach for covariance matrix estimation under Stein loss ⋮ Improved shrinkage estimator of large-dimensional covariance matrix under the complex Gaussian distribution ⋮ A unified approach to estimating a normal mean matrix in high and low dimensions

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