Estimation of the multivariate normal covariance matrix under some restrictions

DOI10.1524/STND.21.4.327.25349zbMATH Open1041.62043OpenAlexW2273771826MaRDI QIDQ4469997FDOQ4469997

Authors: Yo Sheena, Arjun K. Gupta 

Publication date: 22 June 2004

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: http://www.extenza-eps.com/extenza/loadHTML?objectIDValue=25349&type=abstract

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zbMATH Keywords

Wishart distributionunbiased estimator of riskrisk reductionorder preservingorthogonally invariant estimatorStein's loss function

Mathematics Subject Classification ID

Point estimation (62F10) Estimation in multivariate analysis (62H12) Empirical decision procedures; empirical Bayes procedures (62C12) Parametric inference under constraints (62F30)

Cited In (7)

• A note on the variance of the square components of a normal multivariate within a Euclidean ball
• Estimation of a multivariate normal covariance matrix under a certain structure
• Estimation of proportional covariances in the presence of certain linear restrictions.
• Estimation of a covariance matrix in multivariate skew-normal distribution
• A joint convex penalty for inverse covariance matrix estimation
• Improved estimation of a patterned covariance matrix
• Stable estimation of a covariance matrix guided by nuclear norm penalties

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