Intrinsic covariance matrix estimation for multivariate elliptical distributions

DOI10.1016/J.SPL.2020.108774MaRDI QIDQ2173369zbMATH OpenOpenAlexFDO

Authors Junhao Guo, Jie Zhou, Sanfeng Hu

Publication date 22 April 2020

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2020.108774

zbMATH Keywords

covariance matrix estimationelliptical distributionsRao distanceintrinsically unbiased estimationmixture of multivariate elliptical distributions

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Estimation in multivariate analysis (62H12)

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Cites work

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• A Differential Geometric Approach to the Geometric Mean of Symmetric Positive-Definite Matrices
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• Covariance, subspace, and intrinsic Crame/spl acute/r-Rao bounds
• Differential-geometrical methods in statistics.
• Geodesic estimation in elliptical distributions
• Information Geometric Approach to Multisensor Estimation Fusion
• Intrinsic analysis of statistical estimation
• Intrinsic losses
• Multivariate statistics. High dimensional and large-sample approximations.
• Objective Bayesian point and region estimation in location-scale models
• The Inverted Dirichlet Distribution with Applications
• What does intrinsic mean in statistical estimation?

Cited in

(3)

• The sample covariance is not efficient for elliptical distributions
• Tyler's Covariance Matrix Estimator in Elliptical Models With Convex Structure
• Matrix-variate distribution theory under elliptical models-4: joint distribution of latent roots of covariance matrix and the largest and smallest latent roots

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