Further results on estimation of covariance matrix

DOI10.1016/J.SPL.2015.02.022zbMATH Open1327.62351OpenAlexW2031870038MaRDI QIDQ893900FDOQ893900

Authors: Kai Xu, Daojiang He 

Publication date: 23 November 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.02.022

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zbMATH Keywords

covariance matrixStein's lossJames-Stein estimatorpartial Iwasawa coordinatesEfron-Morris type estimatorweighted quadratic loss

Mathematics Subject Classification ID

Point estimation (62F10) Estimation in multivariate analysis (62H12)

Cites Work

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• An identity for the Wishart distribution with applications
• Multivariate empirical Bayes and estimation of covariance matrices
• Nonconjugate Bayesian Estimation of Covariance Matrices and Its Use in Hierarchical Models
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• A new estimator of covariance matrix
• Estimation of a normal covariance matrix with incomplete data under Stein's loss
• Methods for improvement in estimation of a normal mean matrix
• On estimation of a matrix of normal means with unknown covariance matrix
• Minimax estimators in the normal MANOVA model
• Improving on MLE of coefficient matrix in a growth curve model

Cited In (8)

• Estimation of a covariance matrix under Stein's loss
• The Bayes rule of the parameter in \((0,1)\) under Zhang's loss function with an application to the beta-binomial model
• On the estimation of the covariance of the continuous multiplicative systems
• Improved estimation of the covariance matrix under Stein's loss
• Application of matrix partitioning method to covariance matrix
• Evaluation of covariance matrices in the multistage unified least-squares adjustment of the measurement results
• Estimation of deviation for random covariance matrices
• A new estimator of covariance matrix via partial Iwasawa coordinates

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