Estimating the Inverse Matrix of Scale Parameters in an Elliptically Contoured Distribution

DOI10.14490/jjss.35.21zbMath1070.62043OpenAlexW1987973552MaRDI QIDQ5695129

Hisayuki Tsukuma

Publication date: 11 October 2005

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14490/jjss.35.21

zbMATH Keywords

expected valuemultivariate linear modelprecision matrixStein's loss

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Statistical decision theory (62C99)

Related Items (5)

Quadratic shrinkage for large covariance matrices ⋮ Estimation of the inverse scatter matrix of an elliptically symmetric distribution ⋮ Optimal estimation of a large-dimensional covariance matrix under Stein's loss ⋮ Estimation of the precision matrix of multivariate Kotz type model ⋮ Estimation of the precision matrix of multivariate Pearson type II model

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