Estimation of the multivariate normal precision matrix under the entropy loss

DOI10.1023/A:1014657020370zbMATH Open1003.62051OpenAlexW1538236850MaRDI QIDQ1603014FDOQ1603014

Authors: Xian Zhou, Xiaoqian Sun, Jing-Long Wang 

Publication date: 24 June 2002

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1014657020370

Recommendations

• Improved estimation of the generalized precision under the entropy loss
• Improved minimax estimation of the bivariate normal precision matrix under the squared loss
• Improved Minimax Estimators of Normal Convariance and Precision Matrices
• Improvement on the best invariant estimators of the normal covariance and precision matrices via a lower triangular subgroup
• Improved minimax estimation of a normal precision matrix

zbMATH Keywords

multivariate normal distributionprecision matrixinadmissibilityrisk functionentropy lossbest lower-triangular affine equivariant minimax estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20) Admissibility in statistical decision theory (62C15)

Cited In (16)

• Improved Minimax Estimators of Normal Convariance and Precision Matrices
• Estimation of multivariate normal covariance and precision matrices in a star-shape model with missing data
• Von Neumann entropy penalization and low-rank matrix estimation
• On minimaxity of the normal precision matrix estimator of Krishnamoorthy and Gupta
• Estimation of the inverse scatter matrix for a scale mixture of Wishart matrices under Efron-Morris type losses
• Estimation of the precision matrix of multivariate Kotz type model
• Improved estimation of a multinormal precision matrix
• Estimation of the scale matrix of a multivariate \(t\)-model under entropy loss
• Bayesian estimation of a bounded precision matrix
• Improved minimax estimation of the bivariate normal precision matrix under the squared loss
• Estimation of the multivariate normal precision and covariance matrices in a star-shape model
• Estimating the normal dispersion matrix and the precision matrix from a decision-theoretic point of view: a review
• Estimation of the inverse scatter matrix of an elliptically symmetric distribution
• On improved estimation of normal precision matrix and discriminant coefficients
• Bayesian Inference on Multivariate Normal Covariance and Precision Matrices in a Star-Shaped Model with Missing Data
• Title not available (Why is that?)

This page was built for publication: Estimation of the multivariate normal precision matrix under the entropy loss

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1603014)