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

DOI10.1080/03610920802265194zbMATH Open1318.62177OpenAlexW2165049900MaRDI QIDQ3585252FDOQ3585252

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

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zbMATH Keywords

shrinkage estimatorsminimax estimatorsHunt-Stein theoremStein-Haff identitycalculus on eigenstructurescomplex Wishart distributions

Mathematics Subject Classification ID

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

Cites Work

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• The variational form of certain Bayes estimators
• Estimation of a covariance matrix under Stein's loss
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• On the Complex Wishart Distribution
• Estimating covariance matrices
• Estimating the covariance matrix and the generalized variance under a symmetric loss
• Enriched conjugate and reference priors for the Wishart family on symmetric cones
• Expectations of useful complex Wishart forms
• Multivariate calculation. Use of the continuous groups
• Classical Statistical Analysis Based on a Certain Multivariate Complex Gaussian Distribution
• Complex singular Wishart matrices and applications
• Improved nonnegative estimation of multivariate components of variance
• Estimation of normal covariance matrices parametrized by irreducible symmetric cones under Stein's loss
• Improving on the sample covariance matrix for a complex elliptically contoured distribution

Cited In (4)

• Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss
• Improved estimation of the covariance matrix under Stein's loss
• Improved estimation of a covariance matrix under quadratic loss
• On the expectations of equivariant matrix-valued functions of Wishart and inverse Wishart matrices

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