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

DOI10.1007/BF02742863zbMATH Open1093.62543MaRDI QIDQ5953722FDOQ5953722

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

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Mathematics Subject Classification ID

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

Cites Work

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• Asymptotic Theory for Principal Component Analysis
• Stein estimation: The spherically symmetric case
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• Admissibility: Survey of a Concept in Progress
• On the Sampling Theory of Roots of Determinantal Equations
• Simultaneous estimation of eigenvalues
• Trimmed minimax estimator of a covariance matrix
• The 1988 Neyman Memorial Lecture: A Galtonian perspective on shrinkage estimators
• Estimation of the characteristic roots of the scale matrix
• Estimation of eigenvalues of the scale matrix of the multivariate f distribution
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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
• Estimating tail probabilities of the ratio of the largest eigenvalue to the trace of a Wishart matrix
• Shrinkage estimation for the mean of the inverse Gaussian population
• 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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