Best equivariant estimation in curved covariance models

DOI10.1016/0047-259X(92)90089-XzbMath0742.62057OpenAlexW2042700655MaRDI QIDQ1190555

François Perron, N. C. Giri

Publication date: 26 September 1992

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

Full work available at URL: https://doi.org/10.1016/0047-259x(92)90089-x

zbMATH Keywords

maximum likelihood estimatorancillary statisticmaximal invariantpositive definite covariance matrixbest equivariant estimatorsmultiple correlation coefficientcurved covariance modelnormal random vectorsregression coefficient vector

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Foundations and philosophical topics in statistics (62A01)

Cites Work

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• Equivariant estimation in a model with an ancillary statistic
• Equivariant estimation of a mean vector \(\mu\) of N(\(\mu\) ,\(\Sigma\) ) with \(\mu '\Sigma ^{-1}\mu =1\) or \(\Sigma ^{-}\mu =c\) or \(\Sigma =\sigma\) 2\(\mu\) '\(\mu\) I
• The geometry of exponential families
• On the best equivariant estimator of mean of a multivariate normal population
• Differential geometry of curved exponential families. Curvatures and information loss
• Conditionality resolutions
• Geometrical theory of asymptotic ancillarity and conditional inference

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