An orthogonally invariant minimax estimator of the covariance matrix of a multivariate normal population
From MaRDI portal
Publication:1058791
DOI10.21099/tkbjm/1496160048zbMath0565.62035OpenAlexW1482278494MaRDI QIDQ1058791
Publication date: 1984
Published in: Tsukuba Journal of Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.21099/tkbjm/1496160048
minimax estimatorcovariance matricesinvariant measure on the orthogonal groupmultivariate normal populationorthogonally invariant estimator
Estimation in multivariate analysis (62H12) Foundations and philosophical topics in statistics (62A01)
Related Items
An orthogonally equivariant estimator of the covariance matrix in high dimensions and for small sample sizes ⋮ Estimation of Wishart mean matrices under simple tree ordering ⋮ On improved loss estimation for shrinkage estimators ⋮ A regularized profile likelihood approach to covariance matrix estimation ⋮ On a conjecture of Krishnamoorthy and Gupta ⋮ Estimation of a covariance matrix in multivariate skew-normal distribution ⋮ Scale matrix estimation of an elliptically symmetric distribution in high and low dimensions ⋮ Modifying estimators of ordered positive parameters under the Stein loss ⋮ Minimax covariance estimation using commutator subgroup of lower triangular matrices ⋮ Estimating the covariance matrix: A new approach ⋮ Monotonic minimax estimators of a 2×2 covariance matrix ⋮ Minimax estimation for mixtures of Wishart distributions ⋮ A new estimator of covariance matrix ⋮ Robust improvement in estimation of a covariance matrix in an elliptically contoured distribution ⋮ Inference on the eigenvalues of the covariance matrix of a multivariate normal distribution -- geometrical view ⋮ Estimation of the eigenvalues of \(\Sigma{}_ 1\Sigma{}_ 2^{-1}\) ⋮ Generalized Bayes estimators of a normal discriminant function ⋮ Covariance matrix estimation under data-based loss ⋮ Cleaning large correlation matrices: tools from random matrix theory ⋮ Minimax estimators of a covariance matrix ⋮ Improved minimax estimation of the bivariate normal precision matrix under the squared loss ⋮ Equivariant minimax dominators of the MLE in the array normal model ⋮ Principal component analysis from the multivariate familial correlation matrix ⋮ Other classes of minimax estimators of variance covariance matrix in multivariate normal distribution ⋮ Estimating the normal dispersion matrix and the precision matrix from a decision-theoretic point of view: a review ⋮ Stein–Haff identity for the exponential family ⋮ Bayesian predictive densities based on superharmonic priors for the 2-dimensional Wishart model ⋮ A unified approach for covariance matrix estimation under Stein loss ⋮ Improved nonnegative estimation of multivariate components of variance ⋮ Trimmed minimax estimator of a covariance matrix
