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Improved estimation of a patterned covariance matrix
Publication
, Journal Article
Dey, DK; Gelfand, AE
Published in: Journal of Multivariate Analysis
January 1, 1989
Suppose a random vector X has a multinormal distribution with covariance matrix Σ of the form Σ = Σi=1k θiMi, where Mi's form a known complete orthogonal set and θi's are the distinct unknown eigenvalues of Σ. The problem of estimation of Σ is considered under several plausible loss functions. The approach is to establish a duality relationship: estimation of the patterned covariance matrix Σ is dual to simulataneous estimation of scale parameters of independent χ2 distributions. This duality allows simple estimators which, for example, improve upon the MLE of Σ. It also allows improved estimation of tr Σ. Examples are given in the case when Σ has equicorrelated structure. © 1989.
Duke Scholars
Published In
Journal of Multivariate Analysis
DOI
EISSN
1095-7243
ISSN
0047-259X
Publication Date
January 1, 1989
Volume
31
Issue
1
Start / End Page
107 / 116
Related Subject Headings
- Statistics & Probability
- 1403 Econometrics
- 0104 Statistics
Citation
APA
Chicago
ICMJE
MLA
NLM
Dey, D. K., & Gelfand, A. E. (1989). Improved estimation of a patterned covariance matrix. Journal of Multivariate Analysis, 31(1), 107–116. https://doi.org/10.1016/0047-259X(89)90053-5
Dey, D. K., and A. E. Gelfand. “Improved estimation of a patterned covariance matrix.” Journal of Multivariate Analysis 31, no. 1 (January 1, 1989): 107–16. https://doi.org/10.1016/0047-259X(89)90053-5.
Dey DK, Gelfand AE. Improved estimation of a patterned covariance matrix. Journal of Multivariate Analysis. 1989 Jan 1;31(1):107–16.
Dey, D. K., and A. E. Gelfand. “Improved estimation of a patterned covariance matrix.” Journal of Multivariate Analysis, vol. 31, no. 1, Jan. 1989, pp. 107–16. Scopus, doi:10.1016/0047-259X(89)90053-5.
Dey DK, Gelfand AE. Improved estimation of a patterned covariance matrix. Journal of Multivariate Analysis. 1989 Jan 1;31(1):107–116.
![Journal cover image](https://secure.syndetics.com/index.aspx?isbn=/lc.gif&issn=1095-7243&client=dukeuniv)
Published In
Journal of Multivariate Analysis
DOI
EISSN
1095-7243
ISSN
0047-259X
Publication Date
January 1, 1989
Volume
31
Issue
1
Start / End Page
107 / 116
Related Subject Headings
- Statistics & Probability
- 1403 Econometrics
- 0104 Statistics