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Covariance matrix 2 decision-theoretic estimation 2 orthogonally invariant estimator 2 shrinkage estimator 2 62C15 Multivariate Kotz type model Estimation of the precision matrix Quadratic loss Decision theoretic estimation 1 62H12 secondary 1 Decision theoretic estimation 1 Estimation of the precision matrix 1 Multivariate Pearson type II-model 1 Quadratic loss 1 eigenvalues 1 harmonic mean 1 primary 1
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Leung, Pui 2 Sarr, Amadou 2 Chan, Wai 1 Gupta, Arjun 1 Gupta, Arjun K. 1 Joarder, Anwar 1 Ng, Foon 1
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Annals of the Institute of Statistical Mathematics 2 Journal of Multivariate Analysis 1 Metrika 1
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RePEc 4
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Estimation of the precision matrix of multivariate Pearson type II model
Sarr, Amadou; Gupta, Arjun; Joarder, Anwar - In: Metrika 69 (2009) 1, pp. 31-44
Persistent link: https://www.econbiz.de/10005598767
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Estimation of the precision matrix of multivariate Kotz type model
Sarr, Amadou; Gupta, Arjun K. - In: Journal of Multivariate Analysis 100 (2009) 4, pp. 742-752
In this paper, the problem of estimating the precision matrix of a multivariate Kotz type model is considered. First, using the quadratic loss function, we prove that the unbiased estimator , where denotes the sample sum of product matrix, is dominated by a better constant multiple of , denoted...
Persistent link: https://www.econbiz.de/10005221243
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Improved Estimation of Parameter Matrices in a One-Sample and Two-Sample Problems
Leung, Pui; Ng, Foon - In: Annals of the Institute of Statistical Mathematics 53 (2001) 4, pp. 769-780
Persistent link: https://www.econbiz.de/10005395595
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Estimation of the Scale Matrix and its Eigenvalues in the Wishart and the Multivariate F Distributions
Leung, Pui; Chan, Wai - In: Annals of the Institute of Statistical Mathematics 50 (1998) 3, pp. 523-530
Persistent link: https://www.econbiz.de/10005169260
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