Minimax covariance estimation using commutator subgroup of lower triangular matrices
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DOI: 10.1016/j.jmva.2013.11.007
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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.
- Toma, Aida & Leoni-Aubin, Samuela, 2013. "Optimal robust M-estimators using Rényi pseudodistances," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 359-373.
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- Tsukuma, Hisayuki, 2016. "Minimax estimation of a normal covariance matrix with the partial Iwasawa decomposition," Journal of Multivariate Analysis, Elsevier, vol. 145(C), pages 190-207.
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Keywords
Commutator subgroup; Covariance matrix; Least favorable prior; Statistical decision theory; Stein’s loss; Wishart distribution;All these keywords.
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