Estimation of the Cholesky decomposition in a conditional independent normal model with missing data

DOI10.1016/j.spl.2014.01.028zbMath1287.62006OpenAlexW2017961485MaRDI QIDQ2453867

Kai Xu, Dao-Jiang He

Publication date: 11 June 2014

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

Full work available at URL: https://doi.org/10.1016/j.spl.2014.01.028

zbMATH Keywords

covariance matrixprecision matrixequivariant estimatorsinvariant Haar measure

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Foundational topics in statistics (62A99)

Cites Work

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• Estimating a Cholesky decomposition
• Best equivariant estimators of a Cholesky decomposition
• Empirical Bayes estimation of the multivariate normal covariance matrix
• Lattice models for conditional independence in a multivariate normal distribution
• Estimation of a covariance matrix using the reference prior
• Estimation of multivariate normal covariance and precision matrices in a star-shape model with missing data
• Estimation of the multivariate normal precision and covariance matrices in a star-shape model
• Estimation of the Cholesky decomposition of the covariance matrix for a conditional independent normal model
• Improved minimax estimation of a normal precision matrix

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