Trimmed minimax estimator of a covariance matrix

DOI10.1007/BF02482503zbMath0591.62048MaRDI QIDQ1074983

B. George

Publication date: 1986

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo simulationdifferential inequalityWishart distributionestimatorminimax estimatoradaptiveStein's lossmultivariate normal populationeigenvalues of the sample covariance matrixestimating the covariance matrixorthogonally invariant trimmed estimatorStein's truncation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

Related Items

Entropy loss and risk of improved estimators for the generalized variance and precision ⋮ Simultaneous estimation of eigenvalues ⋮ A Stein's approach to covariance matrix estimation using regularization of Cholesky factor and log-Cholesky metric ⋮ Random matrix theory in statistics: a review ⋮ Minimax estimators of a covariance matrix ⋮ Large-sample estimation strategies for eigenvalues of a Wishart matrix. ⋮ Estimating the normal dispersion matrix and the precision matrix from a decision-theoretic point of view: a review ⋮ Improved estimation of the covariance matrix under Stein's loss ⋮ On estimation of discriminant coefficients ⋮ Improved estimation of a patterned covariance matrix

Cites Work

• Trimmed estimates in simultaneous estimation of parameters in exponential families
• An orthogonally invariant minimax estimator of the covariance matrix of a multivariate normal population
• Estimation of a covariance matrix under Stein's loss
• Simultaneous estimation of parameters under entropy loss
• An identity for the Wishart distribution with applications
• Estimation of the inverse covariance matrix: Random mixtures of the inverse Wishart matrix and the identity
• Empirical Bayes estimation of the multivariate normal covariance matrix
• Estimation of the mean of a multivariate normal distribution
• Multivariate empirical Bayes and estimation of covariance matrices
• Minimax estimators for a multinormal precision matrix
• On Truncation of Shrinkage Estimators in Simultaneous Estimation of Normal Means
• Unnamed Item
• Unnamed Item
• Unnamed Item