PREDICTIVE ESTIMATION OF A COVARIANCE MATRIX AND ITS STRUCTURAL PARAMETERS
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Publication:4560123
DOI10.5183/jjscs.1706001_243zbMath1407.62194MaRDI QIDQ4560123
Publication date: 4 December 2018
Published in: Journal of the Japanese Society of Computational Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.5183/jjscs.1706001_243
mean square error; factor analysis; covariance structure; Kullback-Leibler distance; expected likelihood; predictive estimators
62F12: Asymptotic properties of parametric estimators
62H25: Factor analysis and principal components; correspondence analysis
62H12: Estimation in multivariate analysis
62J07: Ridge regression; shrinkage estimators (Lasso)
Cites Work
- Asymptotic expansions for the estimators of Lagrange multipliers and associated parameters by the maximum likelihood and weighted score methods
- Bias correction of the Akaike information criterion in factor analysis
- Optimal information criteria minimizing their asymptotic mean square errors
- Improved estimation of the covariance matrix under Stein's loss
- Estimation of a covariance matrix under Stein's loss
- Inadmissibility of non-order-preserving orthogonally invariant estimators of the covariance matrix in the case of Stein's loss
- Cross-validation methods
- Learning Regression Analysis by Simulation
- Bias Adjustment Minimizing the Asymptotic Mean Square Error
- On Optimality Properties of the Power Prior
- Ridge Regression: Biased Estimation for Nonorthogonal Problems
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