Estimation of multivariate complex normal covariance matrices under an invariant quadratic loss

DOI10.1080/03610920802265194MaRDI QIDQ3585252zbMATH OpenOpenAlexFDO

Authors Yoshihiko Konno

Publication date 19 August 2010

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

Full work available at URL https://doi.org/10.1080/03610920802265194

zbMATH Keywords

calculus on eigenstructurescomplex Wishart distributionsHunt-Stein theoremminimax estimatorsshrinkage estimatorsStein-Haff identity

Mathematics Subject Classification ID

Minimax procedures in statistical decision theory (62C20) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

• Classical Statistical Analysis Based on a Certain Multivariate Complex Gaussian Distribution
• Complex singular Wishart matrices and applications
• Empirical Bayes estimation of the multivariate normal covariance matrix
• Enriched conjugate and reference priors for the Wishart family on symmetric cones
• Estimating covariance matrices
• Estimating the covariance matrix and the generalized variance under a symmetric loss
• Estimation of a covariance matrix under Stein's loss
• Estimation of normal covariance matrices parametrized by irreducible symmetric cones under Stein's loss
• Expectations of useful complex Wishart forms
• scientific article; zbMATH DE number 432498 (Why is no real title available?)
• scientific article; zbMATH DE number 1010456 (Why is no real title available?)
• Improved nonnegative estimation of multivariate components of variance
• Improving on the sample covariance matrix for a complex elliptically contoured distribution
• Multivariate calculation. Use of the continuous groups
• On the Complex Wishart Distribution
• Statistical Analysis Based on a Certain Multivariate Complex Gaussian Distribution (An Introduction)
• The variational form of certain Bayes estimators

Cited in

(5)

• Improved estimation of the covariance matrix under Stein's loss
• Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss
• Improved estimation of a covariance matrix under quadratic loss
• scientific article; zbMATH DE number 562268 (Why is no real title available?)
• On the expectations of equivariant matrix-valued functions of Wishart and inverse Wishart matrices

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