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Inadmissibility Of The Best Equivariant Estimators Of The Variance-Covariance Matrix, The Precision Matrix, And The Generalized Variance Under Entropy Loss

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  • Ghosh M.
  • Sinha B. K.

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  • Ghosh M. & Sinha B. K., 1987. "Inadmissibility Of The Best Equivariant Estimators Of The Variance-Covariance Matrix, The Precision Matrix, And The Generalized Variance Under Entropy Loss," Statistics & Risk Modeling, De Gruyter, vol. 5(3-4), pages 201-228, April.
    • Handle: RePEc:bpj:strimo:v:5:y:1987:i:3-4:p:201-228:n:1
    DOI: 10.1524/strm.1987.5.34.201
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    Cited by:

    1. Tsukuma, Hisayuki, 2014. "Minimax covariance estimation using commutator subgroup of lower triangular matrices," Journal of Multivariate Analysis, Elsevier, vol. 124(C), pages 333-344.
    2. Champion, Colin J., 2003. "Empirical Bayesian estimation of normal variances and covariances," Journal of Multivariate Analysis, Elsevier, vol. 87(1), pages 60-79, October.
    3. He, Daojiang & Xu, Kai, 2014. "Estimation of the Cholesky decomposition in a conditional independent normal model with missing data," Statistics & Probability Letters, Elsevier, vol. 88(C), pages 27-39.
    4. Misra, Neeraj & Singh, Harshinder & Demchuk, Eugene, 2005. "Estimation of the entropy of a multivariate normal distribution," Journal of Multivariate Analysis, Elsevier, vol. 92(2), pages 324-342, February.
    5. Tatsuya Kubokawa & Yoshihiko Konno, 1990. "Estimating the covariance matrix and the generalized variance under a symmetric loss," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 42(2), pages 331-343, June.
    6. Iliopoulos, George & Kourouklis, Stavros, 1999. "Improving on the Best Affine Equivariant Estimator of the Ratio of Generalized Variances," Journal of Multivariate Analysis, Elsevier, vol. 68(2), pages 176-192, February.
    7. Pal, Nabendu & Ling, Chiahua, 1995. "Improved minimax estimation of powers of the variance of a multivariate normal distribution under the entropy loss function," Statistics & Probability Letters, Elsevier, vol. 24(3), pages 205-211, August.
    8. Nariaki Sugiura & Yoshihiko Konno, 1988. "Entropy loss and risk of improved estimators for the generalized variance and precision," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 40(2), pages 329-341, June.
    9. Sun, Xiaoqian & Sun, Dongchu, 2005. "Estimation of the Cholesky decomposition of the covariance matrix for a conditional independent normal model," Statistics & Probability Letters, Elsevier, vol. 73(1), pages 1-12, June.
    10. Hara, Hisayuki, 2001. "Other Classes of Minimax Estimators of Variance Covariance Matrix in Multivariate Normal Distribution," Journal of Multivariate Analysis, Elsevier, vol. 77(2), pages 175-186, May.
    11. Sun, Xiaoqian & Zhou, Xian, 2008. "Improved minimax estimation of the bivariate normal precision matrix under the squared loss," Statistics & Probability Letters, Elsevier, vol. 78(2), pages 127-134, February.
    12. Iliopoulos, George, 2008. "UMVU estimation of the ratio of powers of normal generalized variances under correlation," Journal of Multivariate Analysis, Elsevier, vol. 99(6), pages 1051-1069, July.
    13. Tatsuya Kubokawa, 1994. "Double shrinkage estimation of ratio of scale parameters," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 46(1), pages 95-116, March.

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