Equivariant estimators of the covariance matrix

DOI10.2307/3315567zbMATH Open0702.62048OpenAlexW2006061789MaRDI QIDQ3481089FDOQ3481089

Authors: François Perron 

Publication date: 1990

Published in: The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3315567

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zbMATH Keywords

dominationmaximal invariantWishart matrixmultivariate linear modelgroup of transformationsequivariant estimatorsmultinormal vectorStein-type truncated estimators

Mathematics Subject Classification ID

Foundations and philosophical topics in statistics (62A01) Estimation in multivariate analysis (62H12) Admissibility in statistical decision theory (62C15)

Cites Work

• Estimation with quadratic loss.
• Empirical Bayes estimation of the multivariate normal covariance matrix
• Improving on equivariant estimators
• Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean
• Title not available (Why is that?)
• Improved estimation of a covariance matrix under quadratic loss

Cited In (21)

• Title not available (Why is that?)
• Matrix equivalence classes with applications
• Best equivariant estimators of a Cholesky decomposition
• Title not available (Why is that?)
• Double shrinkage estimation of ratio of scale parameters
• Simultaneous equivariant estimation of the parameters of matrix scale and matrix location-scale models
• Other classes of minimax estimators of variance covariance matrix in multivariate normal distribution
• Some equalities and inequalities for covariance matrices of estimators under linear model
• A unified approach to improving equivariant estimators
• Covariance matrices of self-affine measures
• Title not available (Why is that?)
• A regularized profile likelihood approach to covariance matrix estimation
• Equivariant minimax dominators of the MLE in the array normal model
• Unified improvements in estimation of a normal covariance matrix in high and low dimensions
• Best equivariant estimation in curved covariance models
• Title not available (Why is that?)
• Estimation of Generalized Variance Under an Asymetric Loss Function “Squared Log Error”
• Estimating the covariance matrix: A new approach
• Estimation of covariance matrices in fixed and mixed effects linear models
• Estimation of a scale parameter in mixture models with unknown location
• Improved estimation of the covariance matrix and the generalized variance of a multivariate normal distribution: some unifying results

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