Estimation of normal covariance matrices parametrized by irreducible symmetric cones under Stein's loss

DOI10.1016/j.jmva.2006.06.006zbMath1105.62058MaRDI QIDQ864270

Yoshihiko Konno

Publication date: 13 February 2007

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2006.06.006

zbMATH Keywords

minimax; Jordan algebras; generalized Wishart distribution; unbiased risk estimate; Stein estimator; Bartlett decomposition; complex normal distributions

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62C20: Minimax procedures in statistical decision theory

17C20: Simple, semisimple Jordan algebras

17C55: Finite-dimensional structures of Jordan algebras

Related Items

Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss, Improving on the sample covariance matrix for a complex elliptically contoured distribution

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