A unified approach for covariance matrix estimation under Stein loss

DOI10.5802/CRMATH.356MaRDI QIDQ2080951zbMATH OpenOpenAlexFDO

Authors Anis M. Haddouche, Wei Lü

Publication date 12 October 2022

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2103.11147

Mathematics Subject Classification ID

Statistical decision theory (62C99) Point estimation (62F10) Estimation in multivariate analysis (62H12)

Cites work

• A well-conditioned estimator for large-dimensional covariance matrices
• An orthogonally invariant minimax estimator of the covariance matrix of a multivariate normal population
• Covariance matrix estimation under data-based loss
• Empirical Bayes estimation of the multivariate normal covariance matrix
• Estimation of a covariance matrix under Stein's loss
• Estimation of a high-dimensional covariance matrix with the Stein loss
• Estimation of the precision matrix of a singular Wishart distribution and its application in high-dimensional data
• Improved second order estimation in the singular multivariate normal model
• Lectures on the theory of estimation of many parameters
• Scale matrix estimation of an elliptically symmetric distribution in high and low dimensions
• Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss
• Singular Wishart and multivariate beta distributions

Cited in

(2)

• A unified approach for covariance matrix estimation under Stein loss
• Estimation of normal covariance matrices parametrized by irreducible symmetric cones under Stein's loss

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