Estimation of covariance matrices based on hierarchical inverse-Wishart priors

DOI10.1016/j.jspi.2012.09.006zbMath1428.62216arXiv1106.3203OpenAlexW1547176439MaRDI QIDQ1931370

O. Féron, M. Bouriga

Publication date: 25 January 2013

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1106.3203

zbMATH Keywords

loss functionBayesian covariance estimationexperiments comparisonshierarchical inverse-Wishart priorskrinkage

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian inference (62F15) Exact distribution theory in statistics (62E15)

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