Improved Minimax Estimators of Normal Covariance and Precision Matrices from Incomplete Samples

DOI10.1177/0008068319850103MaRDI QIDQ3033112zbMATH OpenOpenAlexFDO

Authors

Publication date 1985

Published in Calcutta Statistical Association Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1177/0008068319850103

zbMATH Keywords

minimax estimatorsincomplete samples

Mathematics Subject Classification ID

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

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(8)

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• Improved minimax estimation of the bivariate normal precision matrix under the squared loss
• IMPROVED MINIMAX ESTIMATOR OF COVARIANCE WHEN ADDITIONAL INFORMATION IS AVAILABLE ON SOME COORDINATES
• Inferences on a normal covariance matrix and generalized variance with monotone missing data
• Estimation of normal covariance and precision matrices with incomplete data
• The Stein phenomenon for monotone incomplete multivariate normal data
• Estimation of a normal covariance matrix with incomplete data under Stein's loss
• Improved minimax estimation of a normal precision matrix

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