Minimax estimation of a normal covariance matrix with the partial Iwasawa decomposition

Author:

Tsukuma Hisayuki

Funder

Grant-in-Aid for Scientific Research

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Numerical Analysis,Statistics and Probability

Reference23 articles.

1. A family of minimax estimators of the mean of a multivariate normal distribution;Baranchik;Ann. Math. Statist.,1970

2. Improving on equivariant estimators;Brewster;Ann. Statist.,1974

3. Estimation of a covariance matrix under Stein’s loss;Dey;Ann. Statist.,1985

4. Matrix Computations;Golub,1996

5. Estimation with quadratic loss;James,1961

Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Maximum likelihood covariance matrix estimation from two possibly mismatched data sets;Signal Processing;2020-02

2. Estimation of the Covariance Matrix;Shrinkage Estimation for Mean and Covariance Matrices;2020

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