Improved multivariate normal mean estimation with unknown covariance when \(p\) is greater than \(n\)
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Publication:741819
DOI10.1214/12-AOS1067zbMath1296.62048arXiv1302.6746MaRDI QIDQ741819
Martin T. Wells, Didier Chételat
Publication date: 15 September 2014
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1302.6746
Moore-Penrose inverse; minimax estimation; location parameter; covariance estimation; singular Wishart distribution; risk function; James-Stein estimation; invariant quadratic loss; large-\(p\)-small-\(n\) problems
62H12: Estimation in multivariate analysis
62F10: Point estimation
62C20: Minimax procedures in statistical decision theory
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