Minimax estimation for mixtures of Wishart distributions

DOI10.1214/11-AOS951MaRDI QIDQ450011zbMATH OpenOpenAlexFDO

Authors L. R. Haff, Ja-Yong Koo, P. T. Kim, Donald Richards

Publication date 3 September 2012

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

Full work available at URL https://arxiv.org/abs/1203.3342, https://projecteuclid.org/euclid.aos/1330958685

zbMATH Keywords

deconvolutionHarish-Chandra c-functionHelgason-Fourier transformLaplace-Beltrami operatoroptimal rateSobolev ellipsoidstochastic volatility

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Asymptotic properties of nonparametric inference (62G20) Estimation in multivariate analysis (62H12)

Abstract: The space of positive definite symmetric matrices has been studied extensively as a means of understanding dependence in multivariate data along with the accompanying problems in statistical inference. Many books and papers have been written on this subject, and more recently there has been considerable interest in high-dimensional random matrices with particular emphasis on the distribution of certain eigenvalues. With the availability of modern data acquisition capabilities, smoothing or nonparametric techniques are required that go beyond those applicable only to data arising in Euclidean spaces. Accordingly, we present a Fourier method of minimax Wishart mixture density estimation on the space of positive definite symmetric matrices.

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Cited in

(14)

• ``Almost arbitrary minimax estimators of location for independent component variance mixtures of normal variates
• Density estimation on the spaces of symmetric and rectangular matrices
• Exact formulas for the normalizing constants of Wishart distributions for graphical models
• Integral transform methods in goodness-of-fit testing. II: The Wishart distributions
• Matrix-variate Lindley distributions and its applications
• A symmetric matrix-variate normal local approximation for the Wishart distribution and some applications
• Obtaining minimax lower bounds: a review
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• Normal approximations for the multivariate inverse Gaussian distribution and asymmetric kernel smoothing on d-dimensional half-spaces

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