Improved estimation of a covariance matrix in an elliptically contoured matrix distribution
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Publication:1421865
DOI10.1016/S0047-259X(03)00063-0zbMATH Open1032.62051OpenAlexW1971309277MaRDI QIDQ1421865FDOQ1421865
Authors: Pui Lam Leung, Foon Yip Ng 
Publication date: 3 February 2004
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0047-259x(03)00063-0
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Cites Work
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- Greatest lower bound to the elliptical theory kurtosis parameter
- Estimation of the scale matrix and its eigenvalues in the Wishart and the multivariate \(F\) distributions
Cited In (21)
- Invariance properties of the likelihood ratio for covariance matrix estimation in some complex elliptically contoured distributions
- The sample covariance is not efficient for elliptical distributions
- Improved estimation for elliptically symmetric distributions with unknown block diagonal covariance matrix
- Improved ANOVAE of the covariance matrix in general linear mixed models
- The correlation structure of Matheron's classical variogram estimator under elliptically contoured distributions
- Tyler's Covariance Matrix Estimator in Elliptical Models With Convex Structure
- Estimation of the precision matrix of a multivariate elliptically contoured stable distribution
- Shrinkage minimax estimation and positive-part rule for a mean matrix in an elliptically contoured distribution
- Improved estimates of the covariance matrix in general linear mixed models
- Robust shrinkage estimation for elliptically symmetric distributions with unknown covariance matrix
- Improved estimation of the covariance matrix under Stein's loss
- 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
- A new estimator of covariance matrix
- Estimation of the inverse scatter matrix of an elliptically symmetric distribution
- Intrinsic covariance matrix estimation for multivariate elliptical distributions
- Modified estimators of the contribution rates of population eigenvalues
- On mathematical characteristics of some improved estimators of the mean and variance components in elliptically contoured models
- Improving on the sample covariance matrix for a complex elliptically contoured distribution
- Shrinkage estimation under multivariate elliptic models
- Improved estimation of parameter matrices in one-sample and two-sample problems
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