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

DOI10.1016/j.jmva.2008.01.016zbMath1284.62092OpenAlexW2098372663MaRDI 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 analysiscovariance matrixprecision matrixsingular Wishartdominance propertyempirical Bayes proceduremultivariate classificationStein-Haff identityEfron-Morris loss function

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Minimax procedures in statistical decision theory (62C20) Empirical decision procedures; empirical Bayes procedures (62C12)

Related Items (25)

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