Improved minimax estimation of the bivariate normal precision matrix under the squared loss

DOI10.1016/J.SPL.2007.05.010MaRDI QIDQ2476820zbMATH OpenOpenAlexFDO

Authors Xiaoqian Sun, Xian Zhou

Publication date 12 March 2008

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

Full work available at URL https://doi.org/10.1016/j.spl.2007.05.010

zbMATH Keywords

best lower triangular equivariant minimax estimatorbivariate normal distributioninadmissibilityprecision matrixthe squared loss

Mathematics Subject Classification ID

Admissibility in statistical decision theory (62C15) Minimax procedures in statistical decision theory (62C20) Estimation in multivariate analysis (62H12)

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Cites work

• An identity for the Wishart distribution with applications
• An orthogonally invariant minimax estimator of the covariance matrix of a multivariate normal population
• Decision-theoretic estimation of generalized variance and generalized precision
• Estimating the covariance matrix: A new approach
• Estimation of the multivariate normal precision matrix under the entropy loss
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• scientific article; zbMATH DE number 4032826 (Why is no real title available?)
• scientific article; zbMATH DE number 3673373 (Why is no real title available?)
• Improved estimation of a covariance matrix under quadratic loss
• Improved Estimation of Generalized Variance and Precision
• Improved estimation of the generalized precision under the squared loss
• Improved minimax estimation of a normal precision matrix
• Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean
• Invariance, Minimax Sequential Estimation, and Continuous Time Processes
• Orthogonal Equivariant Minimax Estimatorsof Bivariate Normal Covariance Matrix and Precision Matrix

Cited in

(13)

• Estimation of the precision matrix of multivariate Kotz type model
• Improved estimation of a multinormal precision matrix
• On a conjecture of Krishnamoorthy and Gupta
• Estimation of the multivariate normal precision matrix under the entropy loss
• Bayesian estimation of a bounded precision matrix
• Estimation of the multivariate normal precision and covariance matrices in a star-shape model
• Improvement on the best invariant estimators of the normal covariance and precision matrices via a lower triangular subgroup
• Improved Minimax Estimators of Normal Covariance and Precision Matrices from Incomplete Samples
• scientific article; zbMATH DE number 4180571 (Why is no real title available?)
• Improved minimax estimation of a normal precision matrix
• Improved estimation of the generalized precision under the squared loss
• Improved Minimax Estimators of Normal Convariance and Precision Matrices
• Minimax estimation of normal precisions via expansion estimators

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