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

DOI10.1016/J.JSPI.2016.02.004MaRDI QIDQ282890zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3954071 (Why is no real title available?)
• A hierarchical eigenmodel for pooled covariance estimation
• A theoretical study of Stein's covariance estimator
• A well-conditioned estimator for large-dimensional covariance matrices
• Condition-number-regularized covariance estimation
• Covariance estimation: the GLM and regularization perspectives
• Empirical Bayes estimation of the multivariate normal covariance matrix
• Estimation of a covariance matrix under Stein's loss
• Estimation of a covariance matrix using the reference prior
• Flexible covariance estimation in graphical Gaussian models
• Lectures on the theory of estimation of many parameters
• Nonconjugate Bayesian Estimation of Covariance Matrices and Its Use in Hierarchical Models
• Shrinkage Estimators for Covariance Matrices
• Statistical paleoclimate reconstructions via Markov random fields
• The variational form of certain Bayes estimators

Cited in

(7)

• UNBIASED ESTIMATOR OF RISK FOR AN ORTHOGONALLY INVARIANT ESTIMATOR OF A COVARIANCE MATRIX
• On parameter estimation for high dimensional errors-in-variables models
• 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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