Estimation of a covariance matrix under Stein's loss

DOI10.1214/AOS/1176349756zbMATH Open0582.62042OpenAlexW2071346966MaRDI QIDQ1068488FDOQ1068488

Authors: B. George 

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

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zbMATH Keywords

Wishart distributionStein's lossdifferential inequalityimproved estimatorsnormal covariance matrixbest invariant unbiased estimatorseigenvalues of the sample covariance matrixorthogonally invariant estimatorsscale invariant, adaptive minimax estimator

Mathematics Subject Classification ID

Point estimation (62F10) Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20) Statistical decision theory (62C99)

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• Covariance estimation: the GLM and regularization perspectives
• An orthogonally equivariant estimator of the covariance matrix in high dimensions and for small sample sizes
• Sparse permutation invariant covariance estimation
• Estimation, prediction and the Stein phenomenon under divergence loss
• Bayesian estimation of a covariance matrix with flexible prior specification
• Estimation of a high-dimensional covariance matrix with the Stein loss
• Statistical eigen-inference from large Wishart matrices
• Improved ANOVAE of the covariance matrix in general linear mixed models
• A review of the results on the Stein approach for estimators improvement
• Estimation of the eigenvalues of noncentrality parameter matrix in noncentral Wishart distribu\-tion
• A note on covariance estimation in the unbiased estimator of risk framework
• Improved estimation of a covariance matrix in an elliptically contoured matrix distribution
• A theoretical study of Stein's covariance estimator
• Covariance pooling and stabilization for classification
• On estimation of discriminant coefficients
• Estimating the covariance matrix and the generalized variance under a symmetric loss
• Some modifications of improved estimators of a normal variance
• Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss
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• Estimation of normal covariance matrices parametrized by irreducible symmetric cones under Stein's loss
• Sparse estimation of large covariance matrices via a nested Lasso penalty
• Improved estimation of a multinormal precision matrix
• On a conjecture of Krishnamoorthy and Gupta
• 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
• Improved estimation of the covariance matrix under Stein's loss
• Estimation of the scale matrix of a multivariate \(t\)-model under entropy loss
• Asymptotic distribution of Wishart matrix for block-wise dispersion of population eigenvalues
• Improved nonnegative estimation of multivariate components of variance
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• Random matrix theory in statistics: a review
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• Modifying estimators of ordered positive parameters under the Stein loss
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• Estimating the normal dispersion matrix and the precision matrix from a decision-theoretic point of view: a review
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• A unified approach for covariance matrix estimation under Stein loss
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• Trimmed minimax estimator of a covariance matrix
• On improved estimation of normal precision matrix and discriminant coefficients
• PREDICTIVE ESTIMATION OF A COVARIANCE MATRIX AND ITS STRUCTURAL PARAMETERS
• Optimal estimation of a large-dimensional covariance matrix under Stein's loss
• A well-conditioned estimator for large-dimensional covariance matrices
• Simultaneous estimation of eigenvalues
• Stable estimators of inverse covariance matrices
• Estimation of the MSE matrix of the stein estimator
• On improved loss estimation for shrinkage estimators
• First-order covariance inequalities via Stein's method
• On estimation of the scale matrix of the multivariate f distribution
• Optimal shrinkage of eigenvalues in the spiked covariance model
• Shrinkage Estimators for Covariance Matrices
• Estimating high dimensional covariance matrices: a new look at the Gaussian conjugate framework
• On Inverted Matrix Variate Gamma Distribution
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• Shrinkage estimation in the frequency domain of multivariate time series
• Optimal rules and robust Bayes estimation of a gamma scale parameter
• Polynomial estimation of eigenvalues
• Estimation of a normal covariance matrix with incomplete data under Stein's loss
• Covariance regularization by thresholding
• A Cholesky-based estimation for large-dimensional covariance matrices
• Bootstrap -- an exploration
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• Stable estimation of a covariance matrix guided by nuclear norm penalties
• On Comparison Of Estimates Of Dispersion Using Generalized Pitman Nearness Criterion
• Discrepancy between structured matrices in the power analysis of a separability test
• Multivariate elliptically contoured autoregressive process
• Block matrix approximation via entropy loss function.
• A Stein's approach to covariance matrix estimation using regularization of Cholesky factor and log-Cholesky metric
• Improving the Estimation of Eigenvectors Under Quadratic Loss
• Estimation of Error Variance in the Analysis of Experiments Using Two-Level Orthogonal Arrays
• Estimation of a multivariate normal covariance matrix under a certain structure
• Bayesian analysis of the covariance matrix of a multivariate normal distribution with a new class of priors
• Reducing subspace models for large‐scale covariance regression
• Estimation of eigenvalues of the scale matrix of the multivariate f distribution
• Distributionally robust inverse covariance estimation: the Wasserstein shrinkage estimator
• The Bayes rule of the parameter in \((0,1)\) under Zhang's loss function with an application to the beta-binomial model
• Directions Old and New: Palaeomagnetism and Fisher (1953) Meet Modern Statistics
• On minimaxity of the normal precision matrix estimator of Krishnamoorthy and Gupta
• Other classes of minimax estimators of variance covariance matrix in multivariate normal distribution
• On variable ordination of Cholesky‐based estimation for a sparse covariance matrix
• Estimation of a multivariate normal covariance matrix with staircase pattern data
• Linear discriminant analysis with a generalization of the Moore-Penrose pseudoinverse
• Estimation of a covariance matrix in multivariate skew-normal distribution
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• An identity for multivariate elliptically contoured matrix distribution
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• Estimation of a non-centrality parameter under Stein-type-like losses
• A comparison of several biased estimators for improving the expected error rate of the sample quadratic discriminant function

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