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

DOI10.1016/J.SPL.2014.01.028MaRDI QIDQ2453867zbMATH OpenOpenAlexFDO

Authors Kai Xu, Daojiang 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 matrixequivariant estimatorsinvariant Haar measureprecision matrix

Mathematics Subject Classification ID

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

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Cites work

• Best equivariant estimators of a Cholesky decomposition
• Empirical Bayes estimation of the multivariate normal covariance matrix
• Estimating a Cholesky decomposition
• 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 Cholesky decomposition of the covariance matrix for a conditional independent normal model
• Estimation of the multivariate normal precision and covariance matrices in a star-shape model
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Cited in

(4)

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• Estimation of the Cholesky decomposition of the covariance matrix for a conditional independent normal model
• The best equivariant estimator of the parameters in a conditional independent normal distribution with missing data

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