Estimation of the inverse covariance matrix: Random mixtures of the inverse Wishart matrix and the identity

Cited in

(43)

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Improved second order estimation in the singular multivariate normal model
A note on simultaneous estimation of eigenvalues of a multivariate normal covariance matrix
Shrinkage estimation in the frequency domain of multivariate time series
Estimating the normal dispersion matrix and the precision matrix from a decision-theoretic point of view: a review
Minimax estimators in the normal MANOVA model
A comparison of several biased estimators for improving the expected error rate of the sample quadratic discriminant function
Improving parameter tests in covariance structure analysis
Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss
Truncated Estimators for a Precision Matrix
Estimation of the exponential mean time to failure under a weighted balanced loss function
Structural shrinkage of nonparametric spectral estimators for multivariate time series
Covariance pooling and stabilization for classification
Empirical Bayes minimax estimators of matrix normal means
Covariance-regularized regression and classification for high dimensional problems
Multivariate elliptically contoured autoregressive process
Bayesian analysis of the covariance matrix of a multivariate normal distribution with a new class of priors
Improving on the sample covariance matrix for a complex elliptically contoured distribution
Estimation of the precision matrix of multivariate Pearson type II model
Trimmed minimax estimator of a covariance matrix
Nonparametric empirical Bayes estimation of the matrix parameter of the Wishart distribution
Further identities for the Wishart distribution with applications in regression
Compromise between generalized bayes and bayes estimators of poisson means under entropy loss
Mixtures of traces of Wishart and inverse Wishart matrices
An identity for multivariate elliptically contoured matrix distribution
Minimax estimation for mixtures of Wishart distributions
Quadratic shrinkage for large covariance matrices
On estimation of discriminant coefficients
Improved estimation of a multinormal precision matrix
Improved estimation of a patterned covariance matrix
Estimation of the inverse scatter matrix for a scale mixture of Wishart matrices under Efron-Morris type losses
On Inverted Matrix Variate Gamma Distribution
A further note on some Wishart expectations
Shrinkage estimation of large covariance matrices: keep it simple, statistician?
Estimation of scale parameter under entropy loss function
Optimal shrinkage of eigenvalues in the spiked covariance model
Estimation of a covariance matrix in multivariate skew-normal distribution
An identity for the noncentral Wishart distribution with application
A risk perspective of estimating portfolio weights of the global minimum-variance portfolio
An identity for the Wishart distribution with applications

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