Monotonic minimax estimators of a 2×2 covariance matrix
DOI10.2307/3315613zbMATH Open0765.62058OpenAlexW2032634161MaRDI QIDQ4036393FDOQ4036393
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
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groupscovariance matrixmonotonicity propertyminimax estimatorsnonsingular Wishart distributionentropy lossorthogonally invariant estimatorsbivariate normal populationcomparisons with Stein estimators
Foundations and philosophical topics in statistics (62A01) Estimation in multivariate analysis (62H12) Admissibility in statistical decision theory (62C15)
Cites Work
- An orthogonally invariant minimax estimator of the covariance matrix of a multivariate normal population
- The variational form of certain Bayes estimators
- 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
- Families of minimax estimators of the mean of a multivariate normal distribution
- Orthogonal Equivariant Minimax Estimatorsof Bivariate Normal Covariance Matrix and Precision Matrix
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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