Further results on estimation of covariance matrix

DOI10.1016/J.SPL.2015.02.022MaRDI QIDQ893900zbMATHOpenAlexFDO

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

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)

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

Cited in

(8)

• A new estimator of covariance matrix via partial Iwasawa coordinates
• Estimation of deviation for random covariance matrices
• 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
• Evaluation of covariance matrices in the multistage unified least-squares adjustment of the measurement results
• Estimation of a covariance matrix under Stein's loss
• Application of matrix partitioning method to covariance matrix

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