Estimation of a covariance matrix using the reference prior

DOI10.1214/aos/1176325625zbMath0819.62013OpenAlexW1970431297MaRDI QIDQ1805545

James O. Berger, Ruoyong Yang

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

zbMATH Keywords

information matrixcovariance matrixriskentropy lossBayes estimatorsquadratic lossJeffreys priorMarkov chain simulationfrequentist risk comparisonshigh-dimensional posterior expectationshit-and-run samplerreference noninformative prior

Mathematics Subject Classification ID

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

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