Estimation of normal covariance and precision matrices with incomplete data

DOI10.1080/03610929108830529zbMath0724.62059OpenAlexW2001796622MaRDI QIDQ3212140

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Publication date: 1991

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929108830529

zbMATH Keywords

Wishart distributionloss functionsbest lower triangular invariant minimax estimator

Mathematics Subject Classification ID

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

Related Items (3)

Inadmissibility of the maximum likelihood estimator of normal covariance matrices with the lattice conditional independence ⋮ Flexible covariance estimation in graphical Gaussian models ⋮ Multivariate regression with consecutively added dependent variables

Cites Work

• Estimation of a covariance matrix under Stein's loss
• A representation of Bayes invariant procedures in terms of Haar measure
• Improved Minimax Estimators of Normal Covariance and Precision Matrices from Incomplete Samples
• Maximum Likelihood Estimates for a Multivariate Normal Distribution when some Observations are Missing
• Improved minimax estimation of a normal precision matrix

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