Robust improvement in estimation of a covariance matrix in an elliptically contoured distribution

被引：0
|
作者：
Kubokawa, T
Srivastava, MS
机构：
[1] Univ Tokyo, Fac Econ, Tokyo 113, Japan
[2] Univ Toronto, Dept Stat, Toronto, ON M5S 3G3, Canada
来源：
ANNALS OF STATISTICS | 1999年 / 27卷 / 02期
关键词：
elliptically contoured distribution; robustness of improvement; multivariate linear model; covariance matrix; statistical decision theory; shrinkage estimation;
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper derives an extended version of the Haff or, more appropriately, Stein-Haff identity for an elliptically contoured distribution (ECD). This identity is then used to show that the minimax estimators of the covariance matrix obtained under normal models remain robust under the ECD model.
引用
收藏
页码：600 / 609
页数：10
相关论文
共 50 条
  • [21] Sparse estimation of a covariance matrix
    Bien, Jacob
    Tibshirani, Robert J.
    BIOMETRIKA, 2011, 98 (04) : 807 - 820
  • [22] A new robust covariance matrix estimation for high-dimensional microbiome data
    Wang, Jiyang
    Liang, Wanfeng
    Li, Lijie
    Wu, Yue
    Ma, Xiaoyan
    AUSTRALIAN & NEW ZEALAND JOURNAL OF STATISTICS, 2024, 66 (02) : 281 - 295
  • [23] Robust low-rank covariance matrix estimation with a general pattern of missing values
    Hippert-Ferrer, A.
    El Korso, M. N.
    Breloy, A.
    Ginolhac, G.
    SIGNAL PROCESSING, 2022, 195
  • [24] MIMO filters based on robust rank-constrained Kronecker covariance matrix estimation
    Breloy, Arnaud
    Ginolhac, Guillaume
    Gao, Yongchan
    Pascal, Frederic
    SIGNAL PROCESSING, 2021, 187
  • [25] Two methods of robust estimation of a covariance matrix - A practice study for some liver data
    Zdziarek, J
    ADVANCED COMPUTER SYSTEMS, PROCEEDINGS, 2002, 664 : 73 - 87
  • [26] Covariance matrix estimation in beamspace DBF
    College of Communication Engineering, Chongqing University, Chongqing 400030, China
    Dianzi Yu Xinxi Xuebao, 2008, 5 (1100-1103): : 1100 - 1103
  • [27] Further results on estimation of covariance matrix
    Xu, Kai
    He, Daojiang
    STATISTICS & PROBABILITY LETTERS, 2015, 101 : 11 - 20
  • [28] Inertia Estimation Through Covariance Matrix
    Bizzarri, Federico
    del Giudice, Davide
    Grillo, Samuele
    Linaro, Daniele
    Brambilla, Angelo
    Milano, Federico
    IEEE TRANSACTIONS ON POWER SYSTEMS, 2024, 39 (01) : 947 - 956
  • [29] A robust heteroskedasticity consistent covariance matrix estimator
    Furno, M
    STATISTICS, 1997, 30 (03) : 201 - 219
  • [30] A theorem on the covariance matrix of a generalized least squares estimator under an elliptically symmetric error
    Hiroshi Kurata
    Statistical Papers, 2010, 51 : 389 - 395
12345