Equivariant minimax dominators of the MLE in the array normal model

DOI10.1016/J.JMVA.2015.01.020MaRDI QIDQ149115zbMATH OpenOpenAlexWikidataFDO

Authors David Gerard, Peter Hoff, David Gerard, Peter D. Hoff

Publication date May 2015

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

Full work available at URL https://arxiv.org/abs/1408.0424

zbMATH Keywords

covariance estimationBayesian estimationGibbs samplingStein's losstensor data

Mathematics Subject Classification ID

Point estimation (62F10) Bayesian inference (62F15) Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20)

Abstract: Inference about dependencies in a multiway data array can be made using the array normal model, which corresponds to the class of multivariate normal distributions with separable covariance matrices. Maximum likelihood and Bayesian methods for inference in the array normal model have appeared in the literature, but there have not been any results concerning the optimality properties of such estimators. In this article, we obtain results for the array normal model that are analogous to some classical results concerning covariance estimation for the multivariate normal model. We show that under a lower triangular product group, a uniformly minimum risk equivariant estimator (UMREE) can be obtained via a generalized Bayes procedure. Although this UMREE is minimax and dominates the MLE, it can be improved upon via an orthogonally equivariant modification. Numerical comparisons of the risks of these estimators show that the equivariant estimators can have substantially lower risks than the MLE.

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