A new estimator of covariance matrix
From MaRDI portal
Publication:645623
DOI10.1016/j.jspi.2011.08.010zbMath1428.62234OpenAlexW1964005558MaRDI 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
Related Items (9)
Improved estimation of the covariance matrix and the generalized variance of a multivariate normal distribution: some unifying results ⋮ The Bayes rule of the parameter in (0,1) under Zhang’s loss function with an application to the beta-binomial model ⋮ Further results on estimation of covariance matrix ⋮ A new estimator of covariance matrix via partial Iwasawa coordinates ⋮ A Stein's approach to covariance matrix estimation using regularization of Cholesky factor and log-Cholesky metric ⋮ The structure of autocovariance matrix of discrete time subfractional Brownian motion ⋮ Shrinkage estimation for the mean of the inverse Gaussian population ⋮ Minimax estimation of a normal covariance matrix with the partial Iwasawa decomposition ⋮ Matrix differential calculus with applications in the multivariate linear model and its diagnostics
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On estimation of a matrix of normal means with unknown covariance matrix
- Estimation of covariance matrices in fixed and mixed effects linear models
- Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss
- An orthogonally invariant minimax estimator of the covariance matrix of a multivariate normal population
- Estimation of a covariance matrix under Stein's loss
- An identity for the Wishart distribution with applications
- Multivariate empirical Bayes and estimation of covariance matrices
- Estimation of a normal covariance matrix with incomplete data under Stein's loss
- Estimating the covariance matrix: A new approach
- Methods for improvement in estimation of a normal mean matrix
- Empirical Bayes on vector observations: An extension of Stein's method
This page was built for publication: A new estimator of covariance matrix
