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Estimation of the Scale Matrix and its Eigenvalues in the Wishart and the Multivariate F Distributions

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  • Pui Leung
  • Wai Chan

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  • Pui Leung & Wai Chan, 1998. "Estimation of the Scale Matrix and its Eigenvalues in the Wishart and the Multivariate F Distributions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 50(3), pages 523-530, September.
    • Handle: RePEc:spr:aistmt:v:50:y:1998:i:3:p:523-530
    DOI: 10.1023/A:1003529529228
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    References listed on IDEAS

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    1. Dipak Dey, 1988. "Simultaneous estimation of eigenvalues," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 40(1), pages 137-147, March.
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    Cited by:

    1. Ye, Ren-Dao & Wang, Song-Gui, 2009. "Improved estimation of the covariance matrix under Stein's loss," Statistics & Probability Letters, Elsevier, vol. 79(6), pages 715-721, March.
    2. Wen, Jun, 2018. "Estimation of two high-dimensional covariance matrices and the spectrum of their ratio," Journal of Multivariate Analysis, Elsevier, vol. 168(C), pages 1-29.
    3. Pui Leung & Foon Ng, 2001. "Improved Estimation of Parameter Matrices in a One-Sample and Two-Sample Problems," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 53(4), pages 769-780, December.
    4. Leung, Pui Lam & Ng, Foon Yip, 2004. "Improved estimation of a covariance matrix in an elliptically contoured matrix distribution," Journal of Multivariate Analysis, Elsevier, vol. 88(1), pages 131-137, January.

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    1. Yoshihiko Konno, 1991. "A note on estimating eigenvalues of scale matrix of the multivariate F-distribution," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 43(1), pages 157-165, March.
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    4. Pui Leung & Foon Ng, 2001. "Improved Estimation of Parameter Matrices in a One-Sample and Two-Sample Problems," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 53(4), pages 769-780, December.
    5. Wen, Jun, 2018. "Estimation of two high-dimensional covariance matrices and the spectrum of their ratio," Journal of Multivariate Analysis, Elsevier, vol. 168(C), pages 1-29.
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