Estimation of covariance and precision matrices under scale-invariant quadratic loss in high dimension
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Publication:2441050
DOI10.1214/14-EJS878zbMath1282.62140MaRDI QIDQ2441050
Publication date: 21 March 2014
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1392041253
covariance matrix; asymptotic expansions; Moore-Penrose inverse; Wishart distribution; point estimation; multivariate normal distributions; precision matrix; ridge estimator; Stein-Haff identity; risk comparison; scale-invariant quadratic loss
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