Improved Minimax Estimators of Normal Convariance and Precision Matrices

DOI10.1080/02331889508802464MaRDI QIDQ4763473zbMATH OpenOpenAlexWikidataFDO

Authors Arjun K. Gupta, Samuel Ofori-Nyarko

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

risk functionminimax estimatorsMonte 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)

Recommendations

• Improved minimax estimation of the bivariate normal precision matrix under the squared loss
• Improvement on the best invariant estimators of the normal covariance and precision matrices via a lower triangular subgroup
• Improved Minimax Estimators of Normal Covariance and Precision Matrices from Incomplete Samples
• Improved minimax estimation of a normal precision matrix
• Estimation of the multivariate normal precision matrix under the entropy loss

Cites work

• scientific article; zbMATH DE number 4062374 (Why is no real title available?)
• A MULTIVARIATE GENERALIZATION OF TCHEBICHEV'S INEQUALITY
• Best equivariant estimators of a Cholesky decomposition
• Improved Estimation in a Contingency Table: Independence Structure
• Improved minimax estimation of a normal precision matrix
• Invariance, Minimax Sequential Estimation, and Continuous Time Processes

Cited in

(27)

• Minimax covariance estimation using commutator subgroup of lower triangular matrices
• Direct shrinkage estimation of large dimensional precision matrix
• Estimation of multivariate normal covariance and precision matrices in a star-shape model with missing data
• Estimation of the precision matrix of a multivariate elliptically contoured stable distribution
• On Disguised Inverted Wishart Distribution
• Estimation of the precision matrix of multivariate Kotz type model
• Minimax estimators of a covariance matrix
• Improved minimax estimation of the bivariate normal precision matrix under the squared loss
• IMPROVED MINIMAX ESTIMATOR OF COVARIANCE WHEN ADDITIONAL INFORMATION IS AVAILABLE ON SOME COORDINATES
• Empirical Bayesian estimation of normal variances and covariances
• Estimation of the multivariate normal precision and covariance matrices in a star-shape model
• scientific article; zbMATH DE number 4180571 (Why is no real title available?)
• Monotonic minimax estimators of a 2×2 covariance matrix
• scientific article; zbMATH DE number 6176343 (Why is no real title available?)
• Equivariant minimax dominators of the MLE in the array normal model
• scientific article; zbMATH DE number 3940460 (Why is no real title available?)
• Unified improvements in estimation of a normal covariance matrix in high and low dimensions
• Trimmed minimax estimator of a covariance matrix
• Estimation of the multivariate normal precision matrix under the entropy loss
• Improved Minimax Estimators of Normal Covariance and Precision Matrices from Incomplete Samples
• Improvement on the best invariant estimators of the normal covariance and precision matrices via a lower triangular subgroup
• Stable estimators of inverse covariance matrices
• Optimal shrinkage of eigenvalues in the spiked covariance model
• Improved minimax estimation of a normal precision matrix
• A minimal characterization of the covariance matrix
• scientific article; zbMATH DE number 6176345 (Why is no real title available?)
• Improved estimation of the covariance matrix and the generalized variance of a multivariate normal distribution: some unifying results

This page was built for publication: Improved Minimax Estimators of Normal Convariance and Precision Matrices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4763473)