Improved Estimation of Generalized Variance and Precision

DOI10.1080/02331889508802471zbMath0812.62059OpenAlexW2077292691MaRDI QIDQ4763479

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Publication date: 10 April 1995

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331889508802471

zbMATH Keywords

loss functionWishart distributionzonal polynomialbest affine equivariant estimatorminimum riskincomplete beta function of matrix argumentmultivariate normal random matrix

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Incomplete beta and gamma functions (error functions, probability integral, Fresnel integrals) (33B20)

Related Items

Direct shrinkage estimation of large dimensional precision matrix ⋮ IMPROVED MINIMAX ESTIMATOR OF COVARIANCE WHEN ADDITIONAL INFORMATION IS AVAILABLE ON SOME COORDINATES ⋮ UMVU estimation of the ratio of powers of normal generalized variances under correlation ⋮ Estimation of the precision matrix of a multivariate elliptically contoured stable distribution ⋮ Improved minimax estimation of the bivariate normal precision matrix under the squared loss ⋮ Estimation of the precision matrix of multivariate Kotz type model ⋮ Improved estimation of the generalized precision under the entropy loss ⋮ Improving on the best affine equivariant estimator of the ratio of generalized variances

Cites Work

• Estimating the covariance matrix and the generalized variance under a symmetric loss
• Entropy loss and risk of improved estimators for the generalized variance and precision
• On improved estimators of the generalized variance
• An improved estimator of the generalized variance
• Decision-theoretic estimation of generalized variance and generalized precision
• Improved minimax estimation of a normal precision matrix
• Distributions of Matrix Variates and Latent Roots Derived from Normal Samples
• Some Non-Central Distribution Problems in Multivariate Analysis