Estimation of the inverse scatter matrix for a scale mixture of Wishart matrices under Efron-Morris type losses

DOI10.1016/J.JSPI.2021.04.001MaRDI QIDQ2242869zbMATH OpenOpenAlexFDO

Authors Djamila Boukehil, Dominique Fourdrinier, Fatiha Mezoued, William E. Strawderman

Publication date 10 November 2021

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

Full work available at URL https://doi.org/10.1016/j.jspi.2021.04.001

zbMATH Keywords

elliptically symmetric distributionsscale mixtures of Wishartscatter matrixStein-Haff-type identitySURE estimators

Mathematics Subject Classification ID

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

Recommendations

• Estimation of the scale matrix and its eigenvalues in the Wishart and the multivariate F distributions
• Estimation of the Trace of the Scale Matrix of the Scale Mixture of Multivariate Normal Distributions
• Mixtures of traces of Wishart and inverse Wishart matrices
• Estimation of the inverse scatter matrix of an elliptically symmetric distribution
• Estimation of covariance matrices based on hierarchical inverse-Wishart priors
• scientific article; zbMATH DE number 35449
• Estimation of the scale matrix of a multivariate t-model under entropy loss

Cites work

• A Mixture of Wisharts (MOW) Model for Multifiber Reconstruction
• An identity for the Wishart distribution with applications
• Estimation of the inverse covariance matrix: Random mixtures of the inverse Wishart matrix and the identity
• Estimation of the inverse scatter matrix of an elliptically symmetric distribution
• Estimation of the multivariate normal precision matrix under the entropy loss
• Estimation of the precision matrix of a singular Wishart distribution and its application in high-dimensional data
• Estimation of the precision matrix of multivariate Kotz type model
• scientific article; zbMATH DE number 4180571 (Why is no real title available?)
• Improved estimation of a multinormal precision matrix
• Improved minimax estimation of a normal precision matrix
• Improved multivariate normal mean estimation with unknown covariance when \(p\) is greater than \(n\)
• Minimax estimation for mixtures of Wishart distributions
• Minimax estimators for a multinormal precision matrix
• Multivariate empirical Bayes and estimation of covariance matrices
• On improved estimation of normal precision matrix and discriminant coefficients
• On the mean and variance of the generalized inverse of a singular Wishart matrix
• 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

Cited in

(3)

• Truncated Estimators for a Precision Matrix
• On noncentral Wishart mixtures of noncentral Wisharts and their use for testing random effects in factorial design models
• Estimation of the inverse scatter matrix of an elliptically symmetric distribution

This page was built for publication: Estimation of the inverse scatter matrix for a scale mixture of Wishart matrices under Efron-Morris type losses

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2242869)