Estimation of a covariance matrix under Stein's loss
From MaRDI portal
Publication:1068488
DOI10.1214/aos/1176349756zbMath0582.62042MaRDI QIDQ1068488
Publication date: 1985
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176349756
differential inequality; Wishart distribution; Stein's loss; improved estimators; normal covariance matrix; best invariant unbiased estimators; eigenvalues of the sample covariance matrix; orthogonally invariant estimators; scale invariant, adaptive minimax estimator
62H12: Estimation in multivariate analysis
62F10: Point estimation
62C20: Minimax procedures in statistical decision theory
62C99: Statistical decision theory
Related Items
Estimating the normal dispersion matrix and the precision matrix from a decision-theoretic point of view: a review, Inadmissibility of non-order-preserving orthogonally invariant estimators of the covariance matrix in the case of Stein's loss, Minimax estimators of a covariance matrix, Nonparametric empirical Bayes estimation of the matrix parameter of the Wishart distribution, Estimation of the scale matrix of a multivariate \(t\)-model under entropy loss, On a conjecture of Krishnamoorthy and Gupta, Estimation of a non-centrality parameter under Stein-type-like losses, Improved nonnegative estimation of multivariate components of variance, Covariance pooling and stabilization for classification, Some modifications of improved estimators of a normal variance, Estimation of scale matrix of elliptically contoured matrix distributions, Estimation of scatter matrix based on i.i.d. sample from elliptical distributions, Estimation of scale parameter under entropy loss function, Robust improvement in estimation of a covariance matrix in an elliptically contoured distribution, Compromise between generalized bayes and bayes estimators of poisson means under entropy loss, Multiparameter estimation in truncated power series distributions under the stein's loss, Estimation of eigenvalues of the scale matrix of the multivariate f distribution, Polynomial estimation of eigenvalues
