On estimation of a matrix of normal means with unknown covariance matrix

DOI10.1016/0047-259X(91)90090-OzbMATH Open0716.62053MaRDI QIDQ753347FDOQ753347

Publication date: 1991

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

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scientific article; zbMATH DE number 3896072

eigenstructure Wishart matrix minimax estimation Stein estimator Baranchik-type estimator invariant estimator invariant loss function invariant minimax estimators unbiased estimation of the risk

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20)

Cites Work

Estimation with quadratic loss.
An identity for the Wishart distribution with applications
Title not available (Why is that?)
Generalized Bayes minimax estimators of the multivariate normal mean with unknown covariance matrix
Further identities for the Wishart distribution with applications in regression
Minimax estimators in the normal MANOVA model
On estimation of matrix of normal mean
Title not available (Why is that?)

Cited In (32)

On multivariate linear regression shrinkage and reduced-rank procedures
Biased estimation in a simple multivariate regression model
Weighted shrinkage estimators of normal mean matrices and dominance properties
Shrinkage priors for Bayesian estimation of the mean matrix in an elliptically contoured distribution
Estimating risk and the mean squared error matrix in Stein estimation
Minimax multivariate empirical Bayes estimators under multicollinearity
Ridge-type linear shrinkage estimation of the mean matrix of a high-dimensional normal distribution
Shrinkage to smooth non-convex cone :Principal component analysis as stein estimation
Methods for improvement in estimation of a normal mean matrix
Shrinkage minimax estimation and positive-part rule for a mean matrix in an elliptically contoured distribution
Predicting Multivariate Response in Linear Regression Model
Improved multivariate normal mean estimation with unknown covariance when \(p\) is greater than \(n\)
Generalized ridge estimator and model selection criteria in multivariate linear regression
The role of the covariance matrix in the least-squares estimation for a common mean
Minimax hierarchical empirical Bayes estimation in multivariate regression
Robust improvement in estimation of a mean matrix in an elliptically contoured distribution
Generalized Bayes minimax estimation of the normal mean matrix with unknown covariance matrix
A new estimator of covariance matrix
Further results on estimation of covariance matrix
A unified approach to estimating a normal mean matrix in high and low dimensions
Title not available (Why is that?)
Generalized Bayes estimators with closed forms for the normal mean and covariance matrices
High dimensional matrix estimation with unknown variance of the noise
Estimation of the eigenvalues of \(\Sigma{}_ 1\Sigma{}_ 2^{-1}\)
On estimation of matrix of normal mean
Optimal shrinkage of eigenvalues in the spiked covariance model
Estimation of normal covariance and precision matrices with incomplete data
Bayes minimax estimation of the mean matrix of matrix-variate normal distribution under balanced loss function
Estimation of parameters for normally distributed random matrices
Improved loss estimation for a normal mean matrix
Error estimates resulting from the norms of certain noise covariance matrices
Minimax estimation of the mean matrix of the matrix variate normal distribution under the divergence loss function

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