Improved Minimax Estimators of Normal Convariance and Precision Matrices

DOI10.1080/02331889508802464zbMATH Open0812.62058OpenAlexW2085327155WikidataQ126242554 ScholiaQ126242554MaRDI QIDQ4763473FDOQ4763473

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

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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)

Cites Work

• Title not available (Why is that?)
• Best equivariant estimators of a Cholesky decomposition
• Invariance, Minimax Sequential Estimation, and Continuous Time Processes
• Improved minimax estimation of a normal precision matrix
• A MULTIVARIATE GENERALIZATION OF TCHEBICHEV'S INEQUALITY
• Improved Estimation in a Contingency Table: Independence Structure

Cited In (22)

• Direct shrinkage estimation of large dimensional precision matrix
• Estimation of the precision matrix of a multivariate elliptically contoured stable distribution
• Estimation of multivariate normal covariance and precision matrices in a star-shape model with missing data
• On Disguised Inverted Wishart Distribution
• Estimation of the precision matrix of multivariate Kotz type model
• Minimax estimators of a covariance matrix
• 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
• Title not available (Why is that?)
• Monotonic minimax estimators of a 2×2 covariance matrix
• Title not available (Why is that?)
• Title not available (Why is that?)
• 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
• Optimal shrinkage of eigenvalues in the spiked covariance model
• Improved minimax estimation of a normal precision matrix
• A minimal characterization of the covariance matrix
• Title not available (Why is that?)
• Improved estimation of the covariance matrix and the generalized variance of a multivariate normal distribution: some unifying results

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