Monotonic minimax estimators of a 2×2 covariance matrix

DOI10.2307/3315613MaRDI QIDQ4036393zbMATH OpenOpenAlexFDO

Authors François Perron

Publication date 16 May 1993

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

Full work available at URL https://doi.org/10.2307/3315613

zbMATH Keywords

groupscovariance matrixmonotonicity propertyminimax estimatorsnonsingular Wishart distributionentropy lossorthogonally invariant estimatorsbivariate normal populationcomparisons with Stein estimators

Mathematics Subject Classification ID

Foundations and philosophical topics in statistics (62A01) Estimation in multivariate analysis (62H12) Admissibility in statistical decision theory (62C15)

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Cites work

• An orthogonally invariant minimax estimator of the covariance matrix of a multivariate normal population
• Families of minimax estimators of the mean of a multivariate normal distribution
• Inadmissibility of non-order-preserving orthogonally invariant estimators of the covariance matrix in the case of Stein's loss
• Minimax estimators of a covariance matrix
• Orthogonal Equivariant Minimax Estimatorsof Bivariate Normal Covariance Matrix and Precision Matrix
• The variational form of certain Bayes estimators

Cited in

(5)

• Improved nonnegative estimation of multivariate components of variance
• Monotonicity of the Trace–Inverse of Covariance Submatrices and Two-Sided Prediction
• Order-preserving Estimators and an Inequality on the Integration of Zonal Polynomial
• ON MINIMAXITY OF SOME ORTHOGONALLY INVARIANT ESTIMATORS OF BIVARIATE NORMAL DISPERSION MATRIX
• A minimal characterization of the covariance matrix

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