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Estimating the covariance matrix and the generalized variance under a symmetric loss

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  • Tatsuya Kubokawa
  • Yoshihiko Konno

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  • 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.
    • Handle: RePEc:spr:aistmt:v:42:y:1990:i:2:p:331-343
    DOI: 10.1007/BF00050840
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    References listed on IDEAS

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    1. 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.
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    Citations

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    Cited by:

    1. 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.
    2. Dongchu Sun & Xiaoqian Sun, 2005. "Estimation of the multivariate normal precision and covariance matrices in a star-shape model," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(3), pages 455-484, September.
    3. Katori, Makoto & Konno, Norio, 1992. "On the extinction of Dickman's reaction- diffusion processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 186(3), pages 578-590.
    4. Ledoit, Olivier & Wolf, Michael, 2021. "Shrinkage estimation of large covariance matrices: Keep it simple, statistician?," Journal of Multivariate Analysis, Elsevier, vol. 186(C).
    5. 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.
    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. Olivier Ledoit & Michael Wolf, 2019. "Shrinkage estimation of large covariance matrices: keep it simple, statistician?," ECON - Working Papers 327, Department of Economics - University of Zurich, revised Jun 2021.
    8. M. Shams, 2021. "On weakly equivariant estimators," Statistical Papers, Springer, vol. 62(4), pages 1611-1650, August.
    9. Sun, Dongchu & Sun, Xiaoqian, 2006. "Estimation of multivariate normal covariance and precision matrices in a star-shape model with missing data," Journal of Multivariate Analysis, Elsevier, vol. 97(3), pages 698-719, March.
    10. Panayiotis Bobotas & George Iliopoulos & Stavros Kourouklis, 2012. "Estimating the ratio of two scale parameters: a simple approach," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(2), pages 343-357, April.

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