Other classes of minimax estimators of variance covariance matrix in multivariate normal distribution

DOI10.1006/jmva.2000.1934zbMath0972.62035MaRDI QIDQ5943751

Hisayuki Hara

Publication date: 17 September 2001

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.2000.1934

zbMATH Keywords

analysis of variance; conditional risk difference; entropy loss; inadmissibility; minimax estimators; Wishart matrix

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62C20: Minimax procedures in statistical decision theory

62J10: Analysis of variance and covariance (ANOVA)

62C15: Admissibility in statistical decision theory

Related Items

Improved estimation of the covariance matrix and the generalized variance of a multivariate normal distribution: some unifying results

Cites Work

• An orthogonally invariant minimax estimator of the covariance matrix of a multivariate normal population
• Estimation of a covariance matrix under Stein's loss
• The variational form of certain Bayes estimators
• Inadmissibility of non-order-preserving orthogonally invariant estimators of the covariance matrix in the case of Stein's loss
• Minimax estimators of a covariance matrix
• Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean
• Equivariant estimators of the covariance matrix
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