Estimation of the multivariate normal precision matrix under the entropy loss

DOI10.1023/A:1014657020370MaRDI QIDQ1603014zbMATH OpenOpenAlexFDO

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

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)

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(16)

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• Improved minimax estimation of the bivariate normal precision matrix under the squared loss
• Estimating the normal dispersion matrix and the precision matrix from a decision-theoretic point of view: a review
• 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
• Estimation of the inverse scatter matrix of an elliptically symmetric distribution
• On minimaxity of the normal precision matrix estimator of Krishnamoorthy and Gupta
• Von Neumann entropy penalization and low-rank matrix estimation
• Bayesian Inference on Multivariate Normal Covariance and Precision Matrices in a Star-Shaped Model with Missing Data
• scientific article; zbMATH DE number 4032826 (Why is no real title available?)
• Improved estimation of a multinormal precision matrix
• Estimation of the multivariate normal precision and covariance matrices in a star-shape model
• Estimation of the inverse scatter matrix for a scale mixture of Wishart matrices under Efron-Morris type losses
• Bayesian estimation of a bounded precision matrix
• On improved estimation of normal precision matrix and discriminant coefficients
• Estimation of the scale matrix of a multivariate \(t\)-model under entropy loss

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