Improved minimax estimation of a normal precision matrix

DOI10.2307/3314766MaRDI QIDQ3834893zbMATH OpenOpenAlexFDO

Authors

Publication date 1989

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

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

zbMATH Keywords

best invariant estimatorsdiagonal invariant minimax estimatorfully invariant loss functionJames-Stein-type estimatorsMonte-Carlo simulationorthogonal invariant estimatorsrisk improvementWishart distribution

Mathematics Subject Classification ID

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

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Cites work

• An identity for the Wishart distribution with applications
• Best equivariant estimators of a Cholesky decomposition
• scientific article; zbMATH DE number 3673373 (Why is no real title available?)
• scientific article; zbMATH DE number 3350936 (Why is no real title available?)
• Invariance, Minimax Sequential Estimation, and Continuous Time Processes
• Orthogonal Equivariant Minimax Estimatorsof Bivariate Normal Covariance Matrix and Precision Matrix

Cited in

(41)

• Flexible covariance estimation in graphical Gaussian models
• Estimation of the precision matrix of multivariate Kotz type model
• Improved estimation of a multinormal precision matrix
• On a conjecture of Krishnamoorthy and Gupta
• Empirical Bayesian estimation of normal variances and covariances
• Estimation of the multivariate normal precision matrix under the entropy loss
• Quadratic shrinkage for large covariance matrices
• Estimation of the inverse scatter matrix for a scale mixture of Wishart matrices under Efron-Morris type losses
• Minimaxity in estimation of restricted and non-restricted scale parameter matrices
• Optimal shrinkage of eigenvalues in the spiked covariance model
• Bayesian estimation of a bounded precision matrix
• Design-free estimation of variance matrices
• Estimation of the Cholesky decomposition in a conditional independent normal model with missing data
• Improved minimax estimation of the bivariate normal precision matrix under the squared loss
• Asymptotic distribution of Wishart matrix for block-wise dispersion of population eigenvalues
• Distribution of eigenvalues and eigenvectors of Wishart matrix when the population eigenvalues are infinitely dispersed and its application to minimax estimation of covariance matrix
• Estimation of multivariate normal covariance and precision matrices in a star-shape model with missing data
• On improved estimation of normal precision matrix and discriminant coefficients
• Estimation of the multivariate normal precision and covariance matrices in a star-shape model
• Estimation of the Cholesky decomposition of the covariance matrix for a conditional independent normal model
• Direct shrinkage estimation of large dimensional precision matrix
• Improved Minimax Estimators of Normal Covariance and Precision Matrices from Incomplete Samples
• scientific article; zbMATH DE number 4180571 (Why is no real title available?)
• Estimation of normal covariance and precision matrices with incomplete data
• Bayesian Inference on Multivariate Normal Covariance and Precision Matrices in a Star-Shaped Model with Missing Data
• On minimaxity of the normal precision matrix estimator of Krishnamoorthy and Gupta
• scientific article; zbMATH DE number 2141400 (Why is no real title available?)
• Estimating the normal dispersion matrix and the precision matrix from a decision-theoretic point of view: a review
• Improved Minimax Estimators of Normal Convariance and Precision Matrices
• Improved Estimation of Generalized Variance and Precision
• ON MINIMAXITY OF SOME ORTHOGONALLY INVARIANT ESTIMATORS OF BIVARIATE NORMAL DISPERSION MATRIX
• IMPROVED MINIMAX ESTIMATOR OF COVARIANCE WHEN ADDITIONAL INFORMATION IS AVAILABLE ON SOME COORDINATES
• Estimation of a covariance matrix in multivariate skew-normal distribution
• Estimation of the precision matrix of a multivariate elliptically contoured stable distribution
• Higher-order nonlinear shrinkage estimator of large-dimensional precision matrix
• Reviving pseudo-inverses: asymptotic properties of large dimensional Moore-Penrose and ridge-type inverses with applications
• Estimation of the precision matrix of multivariate Pearson type II model
• Promote sign consistency in the joint estimation of precision matrices
• Bayesian estimation of the precision matrix with monotone missing data
• Estimation of the inverse scatter matrix of an elliptically symmetric distribution
• Minimax estimation of normal precisions via expansion estimators

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Uses Software

• AS 53

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