Improved minimax estimation of a normal precision matrix

DOI10.2307/3314766zbMath0678.62060OpenAlexW2133591598MaRDI QIDQ3834893

No author found.

Publication date: 1989

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

Full work available at URL: https://doi.org/10.2307/3314766

zbMATH Keywords

Wishart distributionMonte-Carlo simulationrisk improvementbest invariant estimatorsdiagonal invariant minimax estimatorfully invariant loss functionJames-Stein-type estimatorsorthogonal invariant estimators

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Point estimation (62F10) Foundations and philosophical topics in statistics (62A01)

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Uses Software

• AS 53

Cites Work

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• Best equivariant estimators of a Cholesky decomposition
• An identity for the Wishart distribution with applications
• Invariance, Minimax Sequential Estimation, and Continuous Time Processes
• Orthogonal Equivariant Minimax Estimatorsof Bivariate Normal Covariance Matrix and Precision Matrix