Estimating the covariance matrix and the generalized variance under a symmetric loss

DOI10.1007/BF00050840zbMATH Open0712.62047MaRDI QIDQ749111FDOQ749111

Authors: Tatsuya Kubokawa, Yoshihiko Konno 

Publication date: 1990

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

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zbMATH Keywords

multivariate normal distributionWishart distributioncovariance matrixinadmissibilitygeneralized variancebest affine equivariant estimatorStein's truncated estimatorsymmetric lossunknown means

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Admissibility in statistical decision theory (62C15)

Cites Work

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• Estimation with quadratic loss.
• Estimation of a covariance matrix under Stein's loss
• Empirical Bayes estimation of the multivariate normal covariance matrix
• Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean
• An identity for the Wishart distribution with applications
• Distributions of Matrix Variates and Latent Roots Derived from Normal Samples
• Minimax estimation of powers of the variance of a normal population under squared error loss
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• Decision-theoretic estimation of generalized variance and generalized precision
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• Entropy loss and risk of improved estimators for the generalized variance and precision
• On improved estimators of the generalized variance
• An improved estimator of the generalized variance
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Cited In (27)

• Improved Estimation of Generalized Variance and Precision
• Analysis of the SNR Loss Distribution With Covariance Mismatched Training Samples
• Title not available (Why is that?)
• Stein estimation -- a review
• Improving on the best affine equivariant estimator of the ratio of generalized variances
• Estimation of multivariate normal covariance and precision matrices in a star-shape model with missing data
• Improved estimation of the generalized precision under the entropy loss
• Estimation of normal covariance matrices parametrized by irreducible symmetric cones under Stein's loss
• Asymptotic variance estimation in multivariate distributions
• Title not available (Why is that?)
• Estimation of the multivariate normal precision and covariance matrices in a star-shape model
• Covariance matrix estimation under data-based loss
• Improved minimax estimation of powers of the variance of a multivariate normal distribution under the entropy loss function
• Uniformly minimum variance unbiased estimation for symmetric normal distributions
• Estimation of the entropy of a multivariate normal distribution
• Variance estimation for the normal distribution under log symmetric loss
• Title not available (Why is that?)
• On improved interval estimation for the generalized variance
• Nonparametric covariance estimation in multivariate distributions
• On weakly equivariant estimators
• Estimation of multivariate complex normal covariance matrices under an invariant quadratic loss
• Optimal shrinkage of eigenvalues in the spiked covariance model
• UMVU estimation of the ratio of powers of normal generalized variances under correlation
• Estimation of Generalized Variance Under an Asymetric Loss Function “Squared Log Error”
• Shrinkage estimation of large covariance matrices: keep it simple, statistician?
• Estimating the ratio of two scale parameters: a simple approach
• Improved estimation of the covariance matrix and the generalized variance of a multivariate normal distribution: some unifying results

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