Estimation of a multivariate normal covariance matrix under a certain structure
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Publication:4663082
DOI10.1080/02331880410001730748zbMath1062.62097MaRDI QIDQ4663082
Publication date: 30 March 2005
Published in: Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331880410001730748
Wishart distribution; order-preserving; admissibility; unbiased estimator of risk; orthogonally invariant estimator; Stein's loss function
62H12: Estimation in multivariate analysis
62F30: Parametric inference under constraints
65C05: Monte Carlo methods
Cites Work
- Estimation of a covariance matrix under Stein's loss
- 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
- Asymptotically efficient estimation of covariance matrices with linear structure
- Improved estimation of a patterned covariance matrix
- Explicit maximum likelihood estimators for certain patterned covariance matrices
- REML Estimation of Covariance Matrices with Restricted Parameter Spaces
- On Certain Characteristics of the Distribution of the Latent Roots of a Symmetric Random Matrix Under General Conditions