Estimation of Generalized Variance Under an Asymetric Loss Function “Squared Log Error”

DOI10.1080/03610920500498832MaRDI QIDQ5484652zbMATH OpenOpenAlexFDO

Authors

Publication date 21 August 2006

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920500498832

zbMATH Keywords

covariance matrixdigamma functionminimaxityinverse Wishart distribution

Mathematics Subject Classification ID

Bayesian inference (62F15) Estimation in multivariate analysis (62H12) Admissibility in statistical decision theory (62C15)

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Cites work

• scientific article; zbMATH DE number 3246773 (Why is no real title available?)
• An improved estimator of the generalized variance
• Equivariant estimators of the covariance matrix
• Estimating the covariance matrix: A new approach
• Estimation of a covariance matrix under Stein's loss
• Estimation with quadratic loss.
• Improving on equivariant estimators
• Inadmissibility of the Usual Estimators of Scale parameters in Problems with Unknown Location and Scale Parameters
• Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean

Cited in

(4)

• Variance and bias for general loss functions
• Variance estimation for the normal distribution under log symmetric loss
• Estimation of a Gamma Scale Parameter Under Asymmetric Squared Log Error Loss
• scientific article; zbMATH DE number 6118058 (Why is no real title available?)

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