An identity for the Wishart distribution with applications

DOI10.1016/0047-259X(79)90056-3zbMATH Open0423.62036OpenAlexW2026282093MaRDI QIDQ1134473FDOQ1134473

Publication date: 1979

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

Full work available at URL: https://doi.org/10.1016/0047-259x(79)90056-3

Wishart distribution product moments risk functions unknown matrix

Exact distribution theory in statistics (62E15) Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12)

Cites Work

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Empirical Bayes estimation of the multivariate normal covariance matrix
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Multivariate empirical Bayes and estimation of covariance matrices
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A Characterization of the Wishart Distribution
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A class of integral identities with matrix argument
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Cited In (80)

Multivariate elliptically contoured autoregressive process
A Stein's approach to covariance matrix estimation using regularization of Cholesky factor and log-Cholesky metric
On estimation in multivariate linear calibration with elliptical errors
Estimation of the inverse scatter matrix for a scale mixture of Wishart matrices under Efron-Morris type losses
Robust minimax Stein estimation under invariant data-based loss for spherically and elliptically symmetric distributions
Improved minimax estimation of the bivariate normal precision matrix under the squared loss
Estimation of Wishart mean matrices under simple tree ordering
On Charles Stein's contributions to (in)admissibility
New Wavelet SURE Thresholds of Elliptical Distributions under the Balance Loss
Recent advances in shrinkage-based high-dimensional inference
A further note on some Wishart expectations
Stein-Haff identity for the exponential family
Construdtion of shrinkage estimators for the regression coefficient matrix in the gmanova model
On the expectations of equivariant matrix-valued functions of Wishart and inverse Wishart matrices
Shrinkage estimation of large covariance matrices: keep it simple, statistician?
An optimal combination of risk-return and naive hedging
Tail mean-variance portfolio selection with estimation risk
Scale matrix estimation of an elliptically symmetric distribution in high and low dimensions
Shrinkage and modification techniques in estimation of variance and the related problems: A review
Distribution of the product of a Wishart matrix and a normal vector
Shrinkage priors for Bayesian estimation of the mean matrix in an elliptically contoured distribution
Minimax multivariate empirical Bayes estimators under multicollinearity
Improved second order estimation in the singular multivariate normal model
Estimation of a high-dimensional covariance matrix with the Stein loss
Can we trust the bootstrap in high-dimensions? The case of linear models
Improved estimation of a covariance matrix in an elliptically contoured matrix distribution
On estimating a common multivariate normal mean vector
Improved multivariate normal mean estimation with unknown covariance when \(p\) is greater than \(n\)
On estimation of discriminant coefficients
Estimating the covariance matrix and the generalized variance under a symmetric loss
A parametric bootstrap solution to the MANOVA under heteroscedasticity
Estimation of the precision matrix of multivariate Kotz type model
Estimation of the precision matrix of a singular Wishart distribution and its application in high-dimensional data
Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss
Minimax estimators in the MANOVA model for arbitrary quadratic loss and unknown covariance matrix
Robust shrinkage estimation for elliptically symmetric distributions with unknown covariance matrix
On a conjecture of Krishnamoorthy and Gupta
An identity for the noncentral Wishart distribution with application
Inadmissibility of non-order-preserving orthogonally invariant estimators of the covariance matrix in the case of Stein's loss
On robust estimation of the common scale parameter of several Pareto distributions
Minimax estimators in the normal MANOVA model
Testing on the common mean of several normal distributions
Bayesian estimation of a bounded precision matrix
Improved estimation of a covariance matrix under quadratic loss
Minimax hierarchical empirical Bayes estimation in multivariate regression
Estimating the normal dispersion matrix and the precision matrix from a decision-theoretic point of view: a review
Robust improvement in estimation of a mean matrix in an elliptically contoured distribution
Robust improvement in estimation of a covariance matrix in an elliptically contoured distribution
An identity for multivariate elliptically contoured matrix distribution
Linear shrinkage estimation of large covariance matrices using factor models
A new estimator of covariance matrix
An asymptotic approximation for EPMC in linear discriminant analysis based on two-step monotone missing samples
Further results on estimation of covariance matrix
Partially pooled covariance matrix estimation in discriminant analysis
Unbiased equivariant estimation of a common normal mean vector with one observation from each population
Maximum likelihood estimation of Wishart mean matrices under Löwner order restrictions
Estimation of the inverse scatter matrix of an elliptically symmetric distribution
Empirical Bayes minimax estimators of matrix normal means
Trimmed minimax estimator of a covariance matrix
An asymptotic expansion of Wishart distribution when the population eigenvalues are infinitely dispersed
Estimation of a common multivariate normal mean vector
On improved estimation of normal precision matrix and discriminant coefficients
Estimation of a common mean of several univariate inverse Gaussian populations
Generalized Bayes estimators of a normal discriminant function
Further identities for the Wishart distribution with applications in regression
A note on simultaneous estimation of eigenvalues of a multivariate normal covariance matrix
On estimation of a matrix of normal means with unknown covariance matrix
A note on the trace of a normal dispersion matrix
Minimax Empirical Bayes Estimators in Multivariate Mixed Linear Models with Unequal Replications
On improved loss estimation for shrinkage estimators
Optimal shrinkage of eigenvalues in the spiked covariance model
Asymptotic expansion for distribution of the trace of a covariance matrix under a two-step monotone incomplete sample
Estimation of scale matrix of elliptically contoured matrix distributions
A note on estimating eigenvalues of scale matrix of the multivariate \(F\)- distribution
Improved minimax estimation of a normal precision matrix
Cleaning large correlation matrices: tools from random matrix theory
Unbiased estimation of the variance of the graybill-deal estimator of the common mean of several normal populations
Estimation of covariance matrices in fixed and mixed effects linear models
The superiority of Bayes estimators in a multivariate linear model with respect to normal-inverse Wishart prior
Estimation of covariance and precision matrices under scale-invariant quadratic loss in high dimension

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