On the maximum likelihood estimation of a covariance matrix
From MaRDI portal
Publication:722606
DOI10.3103/S1066530718010052zbMATH Open1402.62109OpenAlexW2802709883MaRDI QIDQ722606FDOQ722606
Authors: Ming-Tien Tsai 
Publication date: 27 July 2018
Published in: Mathematical Methods of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3103/s1066530718010052
Recommendations
- Estimation of a covariance matrix under Stein's loss
- Minimax estimation of a normal covariance matrix with the partial Iwasawa decomposition
- A new estimator of covariance matrix
- Improved estimation of the covariance matrix under Stein's loss
- A new estimator of covariance matrix via partial Iwasawa coordinates
Point estimation (62F10) Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Spectral analysis of large dimensional random matrices
- Nonlinear shrinkage estimation of large-dimensional covariance matrices
- Title not available (Why is that?)
- Estimation with quadratic loss.
- Invariance, Minimax Sequential Estimation, and Continuous Time Processes
- Eigenvalues and Condition Numbers of Random Matrices
- Some Basic Hypergeometric Extensions of Integrals of Selberg and Andrews
- A note on covariance estimation in the unbiased estimator of risk framework
- Title not available (Why is that?)
- Distributions of Matrix Variates and Latent Roots Derived from Normal Samples
- Title not available (Why is that?)
Cited In (11)
- On the existence of positive-definite maximum-likelihood estimates of structured covariance matrices
- Inadmissibility of the maximum likelihood estimator of normal covariance matrices with the lattice conditional independence
- Covariance Structure Maximum-Likelihood Estimates in Compound Gaussian Noise: Existence and Algorithm Analysis
- A note on maximum likelihood estimation for covariance reducing models
- Maximum likelihood degree of the two-dimensional linear Gaussian covariance model
- Maximum likelihood estimation of Wishart mean matrices under Löwner order restrictions
- Title not available (Why is that?)
- A new estimator of covariance matrix via partial Iwasawa coordinates
- Jensen's inequality connected with a double random good
- Estimation of a normal covariance matrix with incomplete data under Stein's loss
- Minimax estimation of a normal covariance matrix with the partial Iwasawa decomposition
This page was built for publication: On the maximum likelihood estimation of a covariance matrix
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q722606)
