Large-sample estimation strategies for eigenvalues of a Wishart matrix.

DOI10.1007/BF02742863MaRDI QIDQ5953722zbMATH OpenFDO

Authors S. Ejaz Ahmed

Publication date 29 January 2002

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/176743

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12)

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Cites work

• scientific article; zbMATH DE number 3122730 (Why is no real title available?)
• scientific article; zbMATH DE number 107584 (Why is no real title available?)
• scientific article; zbMATH DE number 3614055 (Why is no real title available?)
• Admissibility: Survey of a Concept in Progress
• Asymptotic Theory for Principal Component Analysis
• Estimation of eigenvalues of the scale matrix of the multivariate f distribution
• Estimation of the characteristic roots of the scale matrix
• Estimation with quadratic loss.
• Non-Optimality of Preliminary-Test Estimators for the Mean of a Multivariate Normal Distribution
• On the Sampling Theory of Roots of Determinantal Equations
• Simultaneous estimation of eigenvalues
• Stein estimation: The spherically symmetric case
• The 1988 Neyman Memorial Lecture: A Galtonian perspective on shrinkage estimators
• Trimmed minimax estimator of a covariance matrix

Cited in

(9)

• Pretest estimation of eigenvalues of a Wishart matrix
• Statistical eigen-inference from large Wishart matrices
• Asymptotic distribution of Wishart matrix for block-wise dispersion of population eigenvalues
• Inference on eigenvalues of Wishart distribution using asymptotics with respect to the dispersion of population eigenvalues
• Shrinkage estimation for the mean of the inverse Gaussian population
• Estimating tail probabilities of the ratio of the largest eigenvalue to the trace of a Wishart matrix
• Distribution of eigenvalues and eigenvectors of Wishart matrix when the population eigenvalues are infinitely dispersed and its application to minimax estimation of covariance matrix
• An asymptotic expansion of Wishart distribution when the population eigenvalues are infinitely dispersed
• Simultaneous estimation of eigenvalues

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