Estimation of the precision matrix of a singular Wishart distribution and its application in high-dimensional data

DOI10.1016/j.jmva.2008.01.016zbMath1284.62092MaRDI QIDQ953851

Tatsuya Kubokawa, Muni S. Srivastava

Publication date: 6 November 2008

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2008.01.016

zbMATH Keywords

discriminant analysis; covariance matrix; precision matrix; singular Wishart; dominance property; empirical Bayes procedure; multivariate classification; Stein-Haff identity; Efron-Morris loss function

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62H30: Classification and discrimination; cluster analysis (statistical aspects)

62C20: Minimax procedures in statistical decision theory

62C12: Empirical decision procedures; empirical Bayes procedures

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