Estimation of a covariance matrix using the reference prior

DOI10.1214/AOS/1176325625zbMATH Open0819.62013OpenAlexW1970431297MaRDI QIDQ1805545FDOQ1805545

Authors: Ruoyong Yang, James O. Berger 

Publication date: 30 August 1995

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176325625

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zbMATH Keywords

covariance matrixinformation matrixJeffreys priorriskquadratic lossBayes estimatorsentropy lossMarkov chain simulationfrequentist risk comparisonshigh-dimensional posterior expectationshit-and-run samplerreference noninformative prior

Mathematics Subject Classification ID

Bayesian inference (62F15) Estimation in multivariate analysis (62H12) Bayesian problems; characterization of Bayes procedures (62C10)

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