PREDICTIVE ESTIMATION OF A COVARIANCE MATRIX AND ITS STRUCTURAL PARAMETERS

DOI10.5183/jjscs.1706001_243zbMath1407.62194MaRDI QIDQ4560123

Haruhiko Ogasawara

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

zbMATH Keywords

mean square error; factor analysis; covariance structure; Kullback-Leibler distance; expected likelihood; predictive estimators

Mathematics Subject Classification ID

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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