Bayesian Inference on Multivariate Normal Covariance and Precision Matrices in a Star-Shaped Model with Missing Data

DOI10.1080/03610920902774251zbMATH Open1188.62174OpenAlexW2144105325MaRDI QIDQ3562437FDOQ3562437

Zhuoqiong He, Xiaoqian Sun, Dongchu Sun

Publication date: 21 May 2010

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

Full work available at URL: https://doi.org/10.1080/03610920902774251

zbMATH Keywords

missing datareference priorprecision matrixcovariance matrixJeffreys priorStein losssymmetric lossentropy lossstar-shaped model

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Bayesian problems; characterization of Bayes procedures (62C10) Basic linear algebra (15A99)

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• Best equivariant estimators of a Cholesky decomposition
• Estimation of a covariance matrix using the reference prior
• Empirical Bayes estimation of the multivariate normal covariance matrix
• Improved minimax estimation of a normal precision matrix
• Estimation of the multivariate normal precision and covariance matrices in a star-shape model
• Efficient ML estimation of the multivariate normal distribution from incomplete data
• Maximum Likelihood Estimates for a Multivariate Normal Distribution when some Observations are Missing
• Estimation of the multivariate normal precision matrix under the entropy loss
• Estimation of multivariate normal covariance and precision matrices in a star-shape model with missing data

Cited In (1)

• The Bayes rule of the parameter in (0,1) under Zhang’s loss function with an application to the beta-binomial model

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