PREDICTIVE ESTIMATION OF A COVARIANCE MATRIX AND ITS STRUCTURAL PARAMETERS

Author:

Ogasawara Haruhiko1

Affiliation:

1. Otaru University of Commerce

Publisher

Japanese Society of Computational Statistics

Reference29 articles.

1. Akaike, H. (1973). Information theory and an extension of the maximum likelihood principle. In B. N. Petrov & F. Cs´aki (Eds.), Proceedings of the 2nd international symposium on information theory (pp. 267–281). Budapest: Acad´emiai Kiado.

2. Browne, M. W. (2000). Cross-validation methods. Journal of Mathematical Psychology, 44, 108–132.

3. DeGroot, M. H., & Schervish, M. J. (2002). Probability and statistics (3rd ed.). Boston, MA: Addison-Wesley.

4. Dey, D. K., & Srinivasan, C. (1985). Estimation of a covariance matrix under Stein’s loss. The Annals of Statistics, 13, 1581–1591.

5. Gruber, M. H. J. (1998). Improving efficiency by shrinkage: The James-Stein and ridge regression estimators. New York: Marcel Dekker.

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