Intrinsic covariance matrix estimation for multivariate elliptical distributions

DOI10.1016/J.SPL.2020.108774zbMATH Open1439.62153OpenAlexW3014694112MaRDI QIDQ2173369FDOQ2173369

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

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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)

Cites Work

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• Multivariate statistics. High dimensional and large-sample approximations.
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• Covariance, subspace, and intrinsic Crame/spl acute/r-Rao bounds
• A generalization of the Wishart distribution for the elliptical model and its moments for the multivariate t model
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• Information Geometric Approach to Multisensor Estimation Fusion
• What does intrinsic mean in statistical estimation?
• Objective Bayesian point and region estimation in location-scale models
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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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