Improved Minimax Estimators of Normal Convariance and Precision Matrices

DOI10.1080/02331889508802464zbMath0812.62058OpenAlexW2085327155WikidataQ126242554 ScholiaQ126242554MaRDI QIDQ4763473

Samuel Ofori-Nyarko, Arjun K. Gupta

Publication date: 10 April 1995

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331889508802464

zbMATH Keywords

minimax estimatorsrisk functionMonte Carlo studiesnormal covariance matrixinvariant estimatorsbest lower triangular equivariant estimators

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20)

Related Items (10)

Direct shrinkage estimation of large dimensional precision matrix ⋮ IMPROVED MINIMAX ESTIMATOR OF COVARIANCE WHEN ADDITIONAL INFORMATION IS AVAILABLE ON SOME COORDINATES ⋮ Improved estimation of the covariance matrix and the generalized variance of a multivariate normal distribution: some unifying results ⋮ Optimal shrinkage of eigenvalues in the spiked covariance model ⋮ Empirical Bayesian estimation of normal variances and covariances ⋮ Estimation of the precision matrix of a multivariate elliptically contoured stable distribution ⋮ On Disguised Inverted Wishart Distribution ⋮ Estimation of multivariate normal covariance and precision matrices in a star-shape model with missing data ⋮ Estimation of the multivariate normal precision and covariance matrices in a star-shape model ⋮ Estimation of the precision matrix of multivariate Kotz type model

Cites Work

• Unnamed Item
• Best equivariant estimators of a Cholesky decomposition
• Invariance, Minimax Sequential Estimation, and Continuous Time Processes
• A MULTIVARIATE GENERALIZATION OF TCHEBICHEV'S INEQUALITY
• Improved minimax estimation of a normal precision matrix
• Improved Estimation in a Contingency Table: Independence Structure

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