Improved Estimation of Generalized Variance and Precision

DOI10.1080/02331889508802471MaRDI QIDQ4763479zbMATHOpenAlexFDO

Authors

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

Wishart distributionloss functionzonal 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)

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Cites work

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

Cited in

(15)

• UMVU estimation of the ratio of powers of normal generalized variances under correlation
• Stein-type improvements of confidence intervals for the generalized variance
• Estimation of the precision matrix of multivariate Kotz type model
• Direct shrinkage estimation of large dimensional precision matrix
• Improved minimax estimation of the bivariate normal precision matrix under the squared loss
• Estimation of the precision matrix of a multivariate elliptically contoured stable distribution
• Improved estimation of the generalized precision under the entropy loss
• Asymptotic risk comparison of improved estimators for normal covariance matrix
• scientific article; zbMATH DE number 4048875 (Why is no real title available?)
• scientific article; zbMATH DE number 7451116 (Why is no real title available?)
• Decision-theoretic estimation of generalized variance and generalized precision
• Improving on the best affine equivariant estimator of the ratio of generalized variances
• Improving a constant in high-dimensional discrepancy estimates
• 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

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