Minimax estimation of a normal covariance matrix with the partial Iwasawa decomposition

DOI10.1016/j.jmva.2015.12.013zbMath1331.62068OpenAlexW2218475999MaRDI QIDQ5964283

Hisayuki Tsukuma

Publication date: 29 February 2016

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2015.12.013

zbMATH Keywords

incomplete datashrinkage estimatorminimaxityautoregressive modelinadmissibilityCholesky decomposition\(L D L^\top\) decompositionmoving average modelpartial Iwasawa decompositionstatistical decision theory

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Minimax procedures in statistical decision theory (62C20)

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