An Empirical Bayes Approach to Shrinkage Estimation on the Manifold of Symmetric Positive-Definite Matrices
From MaRDI portal
Publication:6153989
Abstract: The James-Stein estimator is an estimator of the multivariate normal mean and dominates the maximum likelihood estimator (MLE) under squared error loss. The original work inspired great interest in developing shrinkage estimators for a variety of problems. Nonetheless, research on shrinkage estimation for manifold-valued data is scarce. In this paper, we propose shrinkage estimators for the parameters of the Log-Normal distribution defined on the manifold of symmetric positive-definite matrices. For this manifold, we choose the Log-Euclidean metric as its Riemannian metric since it is easy to compute and is widely used in applications. By using the Log-Euclidean distance in the loss function, we derive a shrinkage estimator in an analytic form and show that it is asymptotically optimal within a large class of estimators including the MLE, which is the sample Fr'echet mean of the data. We demonstrate the performance of the proposed shrinkage estimator via several simulated data experiments. Furthermore, we apply the shrinkage estimator to perform statistical inference in diffusion magnetic resonance imaging problems.
Cites work
- scientific article; zbMATH DE number 3122730 (Why is no real title available?)
- scientific article; zbMATH DE number 3124366 (Why is no real title available?)
- scientific article; zbMATH DE number 2051142 (Why is no real title available?)
- scientific article; zbMATH DE number 3441460 (Why is no real title available?)
- scientific article; zbMATH DE number 3053873 (Why is no real title available?)
- A Differential Geometric Approach to the Geometric Mean of Symmetric Positive-Definite Matrices
- A Limited Memory Algorithm for Bound Constrained Optimization
- An Empirical Bayes Method for Chi-Squared Data
- Data Mining and Knowledge Discovery Handbook
- Direct density derivative estimation
- Empirical null and false discovery rate inference for exponential families
- Estimation of noncentrality parameters
- Estimation of the mean of a multivariate normal distribution
- Estimation with quadratic loss.
- Geometric Means in a Novel Vector Space Structure on Symmetric Positive‐Definite Matrices
- Group Comparison of Eigenvalues and Eigenvectors of Diffusion Tensors
- Harmonic Analysis on Symmetric Spaces—Higher Rank Spaces, Positive Definite Matrix Space and Generalizations
- Improving on inadmissible estimators in continuous exponential families with applications to simultaneous estimation of gamma scale parameters
- Intrinsic statistics on Riemannian manifolds: Basic tools for geometric measurements
- Lognormal Distributions and Geometric Averages of Symmetric Positive Definite Matrices
- Minimizing a differentiable function over a differential manifold
- Newton's method, zeroes of vector fields, and the Riemannian center of mass
- Non-Euclidean statistics for covariance matrices, with applications to diffusion tensor imaging
- Optimal shrinkage of eigenvalues in the spiked covariance model
- Positive definite matrices: data representation and applications to computer vision
- Posterior contraction rates of density derivative estimation
- Regularizing flows for constrained matrix-valued images
- Riemannian \(L^{p}\) center of mass: existence, uniqueness, and convexity
- SURE Estimates for a Heteroscedastic Hierarchical Model
- SURE estimates under dependence and heteroscedasticity
- Shrinkage Estimators for Covariance Matrices
- Simultaneous Estimation of the Means of Independent Poisson Laws
- Statistics on the Stiefel manifold: theory and applications
- Statistics on the manifold of multivariate normal distributions: theory and application to diffusion tensor MRI processing
- Stein's Estimation Rule and Its Competitors--An Empirical Bayes Approach
- Tweedie’s Formula and Selection Bias
- Using specially designed exponential families for density estimation
- Weighted inductive means
This page was built for publication: An Empirical Bayes Approach to Shrinkage Estimation on the Manifold of Symmetric Positive-Definite Matrices
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6153989)
