A new estimator of covariance matrix

DOI10.1016/j.jspi.2011.08.010zbMath1428.62234MaRDI QIDQ645623

Lijie Jia, Yingsheng Su, Tie-Feng Ma

Publication date: 10 November 2011

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2011.08.010

zbMATH Keywords

covariance matrix; Stein's loss; partial Iwasawa coordinates

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

Related Items

Minimax estimation of a normal covariance matrix with the partial Iwasawa decomposition, Shrinkage estimation for the mean of the inverse Gaussian population, Further results on estimation of covariance matrix, A new estimator of covariance matrix via partial Iwasawa coordinates, The structure of autocovariance matrix of discrete time subfractional Brownian motion, Improved estimation of the covariance matrix and the generalized variance of a multivariate normal distribution: some unifying results

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