Estimation of the inverse covariance matrix: Random mixtures of the inverse Wishart matrix and the identity
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Publication:1140944
DOI10.1214/AOS/1176344845zbMATH Open0436.62046OpenAlexW2034834213MaRDI QIDQ1140944FDOQ1140944
Authors: L. R. Haff 
Publication date: 1979
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176344845
nonsingular Wishart distributionestimation of inverse covariance matrixinverse Wishart matrixrandom mixtures
Cited In (43)
- Multivariate elliptically contoured autoregressive process
- Minimax estimation for mixtures of Wishart distributions
- Estimation of scale parameter under entropy loss function
- Structural shrinkage of nonparametric spectral estimators for multivariate time series
- Mixtures of traces of Wishart and inverse Wishart matrices
- Improved second order estimation in the singular multivariate normal model
- Bayesian analysis of the covariance matrix of a multivariate normal distribution with a new class of priors
- A risk perspective of estimating portfolio weights of the global minimum-variance portfolio
- Covariance-regularized regression and classification for high dimensional problems
- Covariance pooling and stabilization for classification
- On estimation of discriminant coefficients
- Estimation of the inverse scatter matrix for a scale mixture of Wishart matrices under Efron-Morris type losses
- 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
- Improved estimation of a multinormal precision matrix
- An identity for the noncentral Wishart distribution with application
- An identity for the Wishart distribution with applications
- Minimax estimators in the normal MANOVA model
- Estimation of a covariance matrix in multivariate skew-normal distribution
- 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
- Estimation of the precision matrix of multivariate Pearson type II model
- An identity for multivariate elliptically contoured matrix distribution
- A comparison of several biased estimators for improving the expected error rate of the sample quadratic discriminant function
- Nonparametric empirical Bayes estimation of the matrix parameter of the Wishart distribution
- Empirical Bayes minimax estimators of matrix normal means
- Trimmed minimax estimator of a covariance matrix
- Compromise between generalized bayes and bayes estimators of poisson means under entropy loss
- Improving parameter tests in covariance structure analysis
- Further identities for the Wishart distribution with applications in regression
- A further note on some Wishart expectations
- A note on simultaneous estimation of eigenvalues of a multivariate normal covariance matrix
- Truncated Estimators for a Precision Matrix
- Improved estimation of a patterned covariance matrix
- Optimal shrinkage of eigenvalues in the spiked covariance model
- On Inverted Matrix Variate Gamma Distribution
- Shrinkage estimation in the frequency domain of multivariate time series
- Quadratic shrinkage for large covariance matrices
- Shrinkage estimation of large covariance matrices: keep it simple, statistician?
- Bootstrap -- an exploration
- Estimation of the exponential mean time to failure under a weighted balanced loss function
- Improving on the sample covariance matrix for a complex elliptically contoured distribution
- On Comparison Of Estimates Of Dispersion Using Generalized Pitman Nearness Criterion
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