A note on covariance estimation in the unbiased estimator of risk framework

DOI10.1016/J.JSPI.2016.02.004zbMATH Open1341.62128OpenAlexW2283837406MaRDI QIDQ282890FDOQ282890

Authors: Bala Rajaratnam, Dario Vincenzi 

Publication date: 12 May 2016

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.2016.02.004

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zbMATH Keywords

covariance estimationStein's estimatorunbiased estimator of risk framework

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Empirical decision procedures; empirical Bayes procedures (62C12)

Cites Work

• A well-conditioned estimator for large-dimensional covariance matrices
• Condition-Number-Regularized Covariance Estimation
• The variational form of certain Bayes estimators
• Estimation of a covariance matrix using the reference prior
• Title not available (Why is that?)
• Flexible covariance estimation in graphical Gaussian models
• Estimation of a covariance matrix under Stein's loss
• Empirical Bayes estimation of the multivariate normal covariance matrix
• Covariance estimation: the GLM and regularization perspectives
• Lectures on the theory of estimation of many parameters
• Statistical paleoclimate reconstructions via Markov random fields
• Shrinkage Estimators for Covariance Matrices
• Nonconjugate Bayesian Estimation of Covariance Matrices and Its Use in Hierarchical Models
• A Hierarchical Eigenmodel for Pooled Covariance Estimation
• A theoretical study of Stein's covariance estimator

Cited In (7)

• On parameter estimation for high dimensional errors-in-variables models
• UNBIASED ESTIMATOR OF RISK FOR AN ORTHOGONALLY INVARIANT ESTIMATOR OF A COVARIANCE MATRIX
• A theoretical study of Stein's covariance estimator
• Unbiased risk estimation method for covariance estimation
• On the maximum likelihood estimation of a covariance matrix
• The role of the isotonizing algorithm in Stein's covariance matrix estimator
• Quadratic shrinkage for large covariance matrices

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