The geometry of statistical efficiency and matrix statistics

DOI10.1155/2007/94515MaRDI QIDQ933894zbMATH OpenOpenAlexFDO

Authors Karl Gustafson

Publication date 28 July 2008

Published in Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1155/2007/94515

Mathematics Subject Classification ID

Statistics (62-XX)

Review text

Summary: We will place certain parts of the theory of statistical efficiency into the author's operator trigonometry (1967), thereby providing new geometrical understanding of statistical efficiency. Important earlier results of Bloomfield and Watson, Durbin and Kendall, Rao and Rao, will be so interpreted. For example, worse case relative least squares efficiency corresponds to and is achieved by the maximal turning antieigenvectors of the covariance matrix. Some little-known historical perspectives will also be exposed. The overall view will be emphasized.

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Cited in

(2)

• Operator trigonometry of multivariate finance
• The two-to-infinity norm and singular subspace geometry with applications to high-dimensional statistics

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