A new class of improved estimators of a multinormal precision matrix

Dipak K. Dey; Malay Ghosh; C. Srinivasan

doi:10.1524/strm.1990.8.2.141

A new class of improved estimators of a multinormal precision matrix

Dipak K. Dey
, Malay Ghosh
, C. Srinivasan

Dr. Bing Zhang Department of Statistics

Producción científica: Article › revisión exhaustiva

9 Citas (Scopus)

Resumen

Stein and Haff's technique is used to obtain improved estimators of the multinormal precision matrix under a loss introduced by Efron and Morris (1976). The technique is to obtain solutions to a certain differential inequality involving the eigenvalues of the sample covariance matrix. A new class of improved estimators are obtained by solving the differential inequality.

Idioma original	English
Páginas (desde-hasta)	141-152
Número de páginas	12
Publicación	Statistics and Risk Modeling
Volumen	8
N.º	2
DOI	https://doi.org/10.1524/strm.1990.8.2.141
Estado	Published - feb 1990

Nota bibliográfica

Funding Information:
by AF0SR Grant Number 89-0225 supported by the NSF Grant Number by NSF EPSC0R Grant, RI1-8610671

Financiación

by AF0SR Grant Number 89-0225 supported by the NSF Grant Number by NSF EPSC0R Grant, RI1-8610671

Financiadores	Número del financiador
NSF EPSC0R	RI1-8610671
National Science Foundation (NSF)

ASJC Scopus subject areas

Statistics and Probability
Modeling and Simulation
Statistics, Probability and Uncertainty

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abstract = "Stein and Haff's technique is used to obtain improved estimators of the multinormal precision matrix under a loss introduced by Efron and Morris (1976). The technique is to obtain solutions to a certain differential inequality involving the eigenvalues of the sample covariance matrix. A new class of improved estimators are obtained by solving the differential inequality.",

keywords = "Wishart distribution, empirical Bayes estimators, matrix means, minimax estimators, precision matrix",

author = "Dey, \{Dipak K.\} and Malay Ghosh and C. Srinivasan",

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AU - Ghosh, Malay

AU - Srinivasan, C.

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KW - Wishart distribution

KW - empirical Bayes estimators

KW - matrix means

KW - minimax estimators

KW - precision matrix

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A new class of improved estimators of a multinormal precision matrix

Resumen

Nota bibliográfica

Financiación

ASJC Scopus subject areas

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